Bernoulli

  • Bernoulli
  • Volume 13, Number 4 (2007), 910-932.

Semi-parametric second-order efficient estimation of the period of a signal

I. Castillo

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Abstract

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.

Article information

Source
Bernoulli, Volume 13, Number 4 (2007), 910-932.

Dates
First available in Project Euclid: 9 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1194625595

Digital Object Identifier
doi:10.3150/07-BEJ5077

Mathematical Reviews number (MathSciNet)
MR2364219

Zentralblatt MATH identifier
1129.62076

Keywords
exact minimax asymptotics penalized maximum likelihood second-order efficiency semi-parametric estimation unknown period

Citation

Castillo, I. Semi-parametric second-order efficient estimation of the period of a signal. Bernoulli 13 (2007), no. 4, 910--932. doi:10.3150/07-BEJ5077. https://projecteuclid.org/euclid.bj/1194625595


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