Jesus, J;
Chandler, RE;
(2017)
Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions.
Journal of Time Series Analysis
, 38
(2)
pp. 204-224.
10.1111/jtsa.12225.
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Abstract
The theoretical properties of the Whittle likelihood have been studied extensively for many different types of process. In applications however, the utility of the approach is limited by the fact that the asymptotic sampling distribution of the estimator typically depends on third-order and fourth-order properties of the process that may be difficult to obtain. In this article, we show how the methodology can be embedded in the standard framework of estimating functions, which allows the asymptotic distribution to be estimated empirically without calculating higher-order spectra. We also demonstrate that some aspects of the inference, such as the calculation of confidence regions for the entire parameter vector, can be inaccurate but that a small adjustment, designed for application in situations where a mis-specified likelihood is used for inference, can lead to marked improvements.
| Type: | Article |
|---|---|
| Title: | Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1111/jtsa.12225 |
| Publisher version: | http://dx.doi.org/10.1111/jtsa.12225 |
| Language: | English |
| Additional information: | This is the peer reviewed version of the following article: Jesus, J., and Chandler, R. E. (2016) Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions. J. Time Ser. Anal., doi: 10.1111/jtsa.12225, which has been published in final form at http://dx.doi.org/10.1111/jtsa.12225. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. |
| Keywords: | Estimating function; spectral analysis; sandwich estimator; rainfall |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1536681 |
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