most citedOn the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

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math.PR2019★ 2 cited

On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

A. V. Ivanov, N. N. Leonenko, I. V. Orlovskyi

A continuous-time nonlinear regression model with Lévy-driven linear noise process is considered. Sufficient conditions of consistency and asymptotic normality of the Whittle estim…