Bootstrapping Whittle estimators
Whittle 估计量的自助法
Summary Fitting parametric models by optimizing frequency-domain objective functions is an attractive approach of parameter estimation in time series analysis. Whittle estimators are a prominent example in this context. Under weak conditions and the assumption that the true spectral density of the underlying process does not necessarily belong to the parametric class of spectral densities fitted, the distribution of Whittle estimators typically depends on difficult to…