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- W2400965166 abstract "The Whittle likelihood is a computationally efficient pseudo-maximum likelihood inference procedure which is known to produce biased parameter estimates for large classes of time series models. We propose a method for de-biasing Whittle likelihood parameter estimates for second-order stationary stochastic processes. We demonstrate how to compute the de-biased Whittle likelihood in the same $mathcal{O}(nlog n)$ computational efficiency as standard Whittle likelihood. We prove that the method is consistent, and demonstrate its superior performance in simulation studies. We also demonstrate how the method can be easily combined with standard methods of bias reduction, such as tapering and differencing, to further reduce bias in parameter estimates." @default.
- W2400965166 created "2016-06-24" @default.
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- W2400965166 date "2016-05-22" @default.
- W2400965166 modified "2023-09-27" @default.
- W2400965166 title "The De-Biased Whittle Likelihood for Second-Order Stationary Stochastic Processes" @default.
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