We establish asymptotic expansions of the bias, mean-square deviation, and variance for the correlogram estimator of the unknown covariance function of a Gaussian stationary random noise in the nonlinear regression model with continuous time.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 66, No. 6, pp. 787–805, June, 2014.
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Ivanov, O.V., Moskvychova, K.K. Asymptotic Expansion of the Moments of Correlogram Estimator for the Random-Noise Covariance Function in the Nonlinear Regression Model. Ukr Math J 66, 884–904 (2014). https://doi.org/10.1007/s11253-014-0979-7
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DOI: https://doi.org/10.1007/s11253-014-0979-7