We consider a nonlinear regression model with continuous time and establish the consistency and asymptotic normality of the Whittle minimum contrast estimator for the parameter of spectral density of stationary Gaussian noise.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 67, No. 8, pp. 1050–1067, August, 2015.
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Ivanov, O.V., Prykhod’ko, V.V. On the Whittle Estimator of the Parameter of Spectral Density of Random Noise in the Nonlinear Regression Model. Ukr Math J 67, 1183–1203 (2016). https://doi.org/10.1007/s11253-016-1145-1
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DOI: https://doi.org/10.1007/s11253-016-1145-1