On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

09/23/2019

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by   A. V. Ivanov, et al.

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A continuous-time nonlinear regression model with Lévy-driven linear noise process is considered. Sufficient conditions of consistency and asymptotic normality of the Whittle estimator for the parameter of the noise spectral density are obtained in the paper.