Moment estimator for an AR(1) model driven by a long memory Gaussian noise

DOI10.1016/J.JSPI.2022.06.003OpenAlexW4282826381WikidataQ114154273 ScholiaQ114154273MaRDI QIDQ2676893

Yanyan Li

Publication date: 28 September 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.12443

zbMATH Keywords

asymptotic normalityGaussian processalmost sure central limit theoremfourth moment theoremBerry-Esséen boundbreuer-major theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Efficient parameter estimation for self-similar processes
• Almost sure central limit theorems on the Wiener space
• Central limit theorems for non-linear functionals of Gaussian fields
• On estimation of a regression model with long-memory stationary errors
• Asymptotic normality of regression estimators with long memory errors
• Strong consistency of least squares estimates in dynamic models
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• General autoregressive models with long-memory noise
• Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
• Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• Normal Approximations with Malliavin Calculus
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
• Long‐Memory Time Series
• ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES
• Berry-esseen bound for the kaplan-meier estimator
• On the Strong Law of Large Numbers for Second Order Stationary Processes and Sequences
• Criteria for the Strong Law of Large Numbers for Some Classes of Second-Order Stationary Processes and Homogeneous Random Fields
• Asymptotic Statistics
• Long-Memory Processes

This page was built for publication: Moment estimator for an AR(1) model driven by a long memory Gaussian noise