Whittle Likelihood Estimation of Nonlinear Autoregressive Models With Moving Average Residuals
含移动平均残差的非线性自回归模型的 Whittle 似然估计
The Whittle likelihood estimation (WLE) has played a fundamental role in the development of both theory and computation of time series analysis. However, WLE is only applicable to models whose theoretical spectral density function (SDF) is known up to the parameters in the models. In this article, we propose a residual-based WLE, called extended WLE (XWLE), which can estimate models with their SDFs only partially available, including many popular time series models with…