Contiguity of the Whittle measure for a Gaussian time series

By Nidhan Choudhuri, Subhashis Ghosal, Anindya Roy. 2004

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7f9e968b439d2a411cddf8a741ef13678cb908a6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Subhashis Ghosal
2. A. van der Vaart
3. Nidhan Choudhuri
4. Anindya Roy
5. Pierre Perron
6. Tomoyoshi Yabu

In Finance

1. Subhashis Ghosal
2. A. van der Vaart
3. Anindya Roy
4. Nidhan Choudhuri
5. Judith Rousseau
6. Richard Nickl
7. I. Castillo
8. Dominique Bontemps

In Statistics and Probability

1. A. van der Vaart
2. Subhashis Ghosal
3. Judith Rousseau
4. Anindya Roy
5. Nidhan Choudhuri
6. Richard Nickl
7. Kolyan Ray
8. I. Castillo

Citations in the corpus

• Bayesian Estimation of the Spectral Density of a Time Series (2004, methodology): “Chow and Grenander (1985) used a sieve method to obtain a nonparametric maximum likelihood estimator (MLE) based on the Whittle likelihood.”
• Convergence rates of posterior distributions for non-i.i.d. observations (2007, methodology): “As in the proof of consistency, we use the contiguity result of Choudhuri, Ghosal and Roy [8], which shows that for a Gaussian time series, the sequence of laws of (In(2/n), .”