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arXiv · 1601.07141

On the robustness to small trends of parameter estimation for continuous-time stationary models with memory

M. S. Ginovyan·A. A. Sahakyan
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Abstract

The paper deals with a question of robustness of inferences, carried out on a continuous-time stationary process contaminated by a small trend, to this departure from stationarity. We show that a smoothed periodogram approach to parameter estimation is highly robust to the presence of a small trend in the model. The obtained result is a continuous version of that of Hede and Dai (Journal of Time Series Analysis, 17, 141-150, 1996) for discrete time processes.

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M. S. Ginovyan, A. A. Sahakyan. 2016-01-26. On the robustness to small trends of parameter estimation for continuous-time stationary models with memory. https://arxiv.org/abs/1601.07141

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