Efficient parameter estimation for self-similar processes

DOI10.1214/aos/1176347393zbMath0703.62091OpenAlexW4251238138WikidataQ105584378 ScholiaQ105584378MaRDI QIDQ916289

Rainer Dahlhaus

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347393

zbMATH Keywords

efficiencymaximum likelihood estimatorapproximate maximum likelihood estimatorAsymptotic normalityasymptotic properties of Toeplitz matricesequicontinuity property of quadratic formsfractional ARMAlimit of the Fisher information matrixlong range dependent Gaussian process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Limit theorems in probability theory (60F99)

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