ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES (Q5389961): Difference between revisions

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scientific article; zbMATH DE number 6027199

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English	ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES	scientific article; zbMATH DE number 6027199

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instance of

scholarly article

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title

ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES (English)

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zbMATH Open document ID

1298.62044

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DOI

10.1017/S0266466611000399

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24 April 2012

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Mathematics Subject Classification ID

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MaRDI publication profile

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cites work

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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On continuous-time autoregressive fractionally integrated moving average processes

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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

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Fractional Brownian Motions, Fractional Noises and Applications

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EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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Central limit theorems for quadratic forms in random variables having long-range dependence

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Fractional differencing

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ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS

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Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.

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Efficient parameter estimation for self-similar processes

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The asymptotic theory of linear time-series models

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations

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On large-sample estimation for the mean of a stationary random sequence

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Nonstationarity-extended local Whittle estimation

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A noncentral limit theorem for quadratic forms of Gaussian stationary sequences

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Exact local Whittle estimation of fractional integration

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EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

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ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE

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Log-periodogram regression of time series with long range dependence

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Gaussian semiparametric estimation of long range dependence

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Non-stationary log-periodogram regression

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Sitelinks

Mathematics(1 entry)

mardi Publication:5389961

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
+Normal rank
@@ Property / cites work @@
+Gaussian Semiparametric Estimation of Non-stationary Time Series
+Normal rank
@@ Property / cites work @@
+On continuous-time autoregressive fractionally integrated moving average processes
+Normal rank
@@ Property / cites work @@
+Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
+Normal rank
@@ Property / cites work @@
+Central limit theorems for quadratic forms in random variables having long-range dependence
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
@@ Property / cites work: ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+The asymptotic theory of linear time-series models
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
+Normal rank
@@ Property / cites work @@
+On large-sample estimation for the mean of a stationary random sequence
+Normal rank
@@ Property / cites work @@
+Nonstationarity-extended local Whittle estimation
@@ Property / cites work: Nonstationarity-extended local Whittle estimation / rank @@
+Normal rank
@@ Property / cites work @@
+A noncentral limit theorem for quadratic forms of Gaussian stationary sequences
+Normal rank
@@ Property / cites work @@
+Exact local Whittle estimation of fractional integration
+Normal rank
@@ Property / cites work @@
+EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
+Normal rank
@@ Property / cites work @@
+NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
@@ Property / cites work: NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Non-stationary log-periodogram regression
@@ Property / cites work: Non-stationary log-periodogram regression / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5389961