Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information

Abstract

Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameter ${\sigma }^2$ in the model $Z_{i,n}=\sigma n^{-\beta }{X}_i+Y_i,i=1,\dots ,n,\beta >0$ with independent, stationary Gaussian processes $(X_i{)}_{i\in \mathbb{N}}$, $(Y_i{)}_{i\in \mathbb{N}}$, and $(X_i{)}_{i\in \mathbb{N}}$ exhibits possibly long-range dependence. In a second part, closed-form expressions for the asymptotic behavior of the corresponding Fisher information are derived. Our main finding is that depending on the behavior of the spectral densities at zero, the Fisher information has asymptotically two different scaling regimes, which are separated by a sharp phase transition. The most prominent example included in our analysis is the Fisher information for the scaling factor of a high-frequency sample of fractional Brownian motion under additive noise.

Published in at http://dx.doi.org/10.3150/12-BEJ505 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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• Correction. Efficient parameter estimation for self-similar processes
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Cited by in corpus (2)

• Estimation of the Hurst parameter from continuous noisy data
• On the asymptotic structure of Brownian motions with a small lead-lag effect