ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

DOI10.1017/S0266466611000399zbMath1298.62044MaRDI QIDQ5389961

Offer Lieberman, Roy Rosemarin, Judith Rousseau

Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000399

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60G15: Gaussian processes

60G10: Stationary stochastic processes

Related Items

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models, Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes, BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP, Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra, Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process, Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach, Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, Pseudo-maximum likelihood estimators in linear regression models with fractional time series, Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations

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