2007/11/01 by I. Castillo · 4 citations
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Electrical Measurement Techniques #Class (philosophy) #Direction-of-Arrival Estimation Techniques #Estimation #Estimator #Financial Risk and Volatility Modeling #Function (biology) #Gaussian #Maximum likelihood #Minimax #Minimax estimator #Periodic function #math.ST #stat.TH
paper · pdf · doi:10.3150/07-bej5077
published in Bernoulli 13(4) (Chapman and Hall London) · Published in at http://dx.doi.org/10.3150/07-BEJ5077 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
openalex publication_date 2007/11/01 · arxiv created 2007/11/26 · arxiv updated 2011/11/09 · openalex created_date 2016/06/24 · openalex updated_date 2026/08/05
This paper is concerned with the estimation of the period of an unknown periodic function in Gaussian white noise. A class of estimators of the period is constructed by means of a penalized maximum likelihood method. A second-order asymptotic expansion of the risk of these estimators is obtained. Moreover, the minimax problem for the second-order term is studied and an estimator of the preceding class is shown to be second order efficient.