Efficient parameter estimation for self-similar processes (Q916289): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q105584378, #quickstatements; #temporary_batch_1706974296281 |
Removed claim: reviewed by (P1447): Item:Q1059338 |
||
| Property / reviewed by | |||
| Property / reviewed by: Helmut Strasser / rank | |||
Revision as of 04:24, 22 February 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)
0 references
1989
0 references
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.
0 references
fractional ARMA
0 references
Asymptotic normality
0 references
maximum likelihood estimator
0 references
long range dependent Gaussian process
0 references
limit of the Fisher information matrix
0 references
efficiency
0 references
approximate maximum likelihood estimator
0 references
asymptotic properties of Toeplitz matrices
0 references
equicontinuity property of quadratic forms
0 references
