The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence

DOI10.1016/S0167-7152(96)00041-7zbMath0880.62093OpenAlexW2057479538MaRDI QIDQ1359733

Ishwar V. Basawa, Sankara N. Sethuraman

Publication date: 6 July 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00041-7

zbMATH Keywords

maximum likelihood estimationtime seriesasymptotic inferencelong-memory dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (2)

Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Local asymptotic normality for regression models with long-memory disturbance

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