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Whittle likelihood

The Whittle likelihood is an approximation to the likelihood function of a stationary Gaussian time series. It is named after the mathematician and… 
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Related topics

Related topics

12 relations
Colors of noiseDiscrete Fourier transformGaussian processMatched filter

Broader (2)

Estimation theorySignal processing

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
The De-Biased Whittle Likelihood for Second-Order Stationary Stochastic Processes
The Whittle likelihood is a computationally efficient pseudo-maximum likelihood inference procedure which is known to produce… 
2015
2015
LIKELIHOOD APPROXIMATIONS FOR BIG NONSTATIONARY SPATIAL TEMPORAL LATTICE DATA
We propose a nonstationary Gaussian likelihood approximation for the class of evolutionary spectral models for data on a regular… 
2014
2014
An empirical likelihood approach for symmetric $\alpha$-stable processes
Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or… 
2014
2014
Independent Component Analysis for Spatial Stochastic Processes on A Lattice
623 Statistical and Graphical Challenges in Analyzing Big and Complex Neuroimaging Data—Invited 
2013
2013
The Whittle Likelihood for Complex-Valued Time Series
This paper introduces a version of the Whittle likelihood for complex-valued processes. This represents a nontrivial extension of… 
2009
2009
ASYMPTOTIC EFFICIENCY OF ESTIMATING FUNCTION ESTIMATORS FOR NONLINEAR TIME SERIES MODELS
The conditional least squares (CLS) estimator proposed by Tjostheim (1986) is convenient and important for nonlinear time series… 
2009
2009
SYSTEMATIC APPROACH FOR PORTMANTEAU TESTS IN VIEW OF THE WHITTLE LIKELIHOOD RATIO
Box and Pierce (1970) proposed a test statistic TBP which is the squared sum of m sample autocorrelations of the estimated… 
2007
2007
Empirical Likelihood Approach for Non-Gaussian Vector Stationary Processes and Its Application to Minimum Contrast Estimation
A  . For a class of vector-valued non-Gaussian stationary processes with unknown parameters, we develop the empirical… 
2006
2006
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF LONG-MEMORY LIMITING AGGREGATE PROCESSES
We consider the application of the limiting aggregate model derived by Tsai and Chan (2005d) for modeling aggregated long-memory… 
1992
1992
Penalized Whittle Likelihood Estimation of Spectral Density Functions . 1
The penalized likelihood approach is not yet developed for time series problems, even though it has applied in a number of… 
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