Abstract
A two-step estimation procedure is presented for spectral densities of the form f(λ)=ηg(λθ) with η and θ being unknown parameters. The classes of random fields for which the procedure is applicable are defined by restrictions on spectral densities of second and higher orders. The procedure suggests a minimum contrast estimator for the parameter θ which is then used to construct the estimator for η. The delta method provides the asymptotic normality of our estimator for the parameter η.
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Anh, V.V., Leonenko, N.N., Moldavskaya, E.M. et al. Estimation of Spectral Densities with Multiplicative Parameter. Acta Applicandae Mathematicae 79, 115–128 (2003). https://doi.org/10.1023/A:1025895730348
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DOI: https://doi.org/10.1023/A:1025895730348