Efficient parameter estimation for self-similar processes (Q916289): Difference between revisions
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Latest revision as of 19:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient parameter estimation for self-similar processes |
scientific article |
Statements
Efficient parameter estimation for self-similar processes (English)
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1989
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Asymptotic normality of the maximum likelihood estimator for the parameters of a long range dependent Gaussian process is proved. Furthermore, the limit of the Fisher information matrix is derived for such processes, which implies efficiency of the estimator and of an approximate maximum likelihood estimator studied by \textit{R. Fox} and \textit{M. S. Taqqu} [ibid. 14, 517-532 (1986; Zbl 0606.62096)]. The results are derived by using asymptotic properties of Toeplitz matrices and an equicontinuity property of quadratic forms.
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fractional ARMA
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Asymptotic normality
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maximum likelihood estimator
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long range dependent Gaussian process
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limit of the Fisher information matrix
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efficiency
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approximate maximum likelihood estimator
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asymptotic properties of Toeplitz matrices
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equicontinuity property of quadratic forms
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