ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS

DOI10.1111/J.1467-842X.1985.TB00576.XzbMath0584.62142MaRDI QIDQ3707195

Yoshihiro Yajima

Publication date: 1985

Published in: Australian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

rate of convergencemaximum likelihood estimatorleast squares estimatorstrong consistencyfractional differencingARIMA processeslong-memory time series models

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)

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