The De-Biased Whittle Likelihood

22 May 2016Adam M. SykulskiSofia C. OlhedeArthur P. GuillauminJonathan M. LillyJeffrey J. Early

The Whittle likelihood is a widely used and computationally efficient pseudo-likelihood. However, it is known to produce biased parameter estimates for large classes of models... (read more)

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