ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM (Q4299034)
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scientific article; zbMATH DE number 598020
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| English | ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM |
scientific article; zbMATH DE number 598020 |
Statements
ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM (English)
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8 September 1994
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multivariate central limit theorem
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long-range dependence
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fractional Gaussian noise
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fractional ARIMA
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self-similar
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quadratic forms
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Whittle estimator
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time series
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maximum likelihood estimation
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dependence structure
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asymptotically independent
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0.91925156
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0.90266865
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0.8992736
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0.8984823
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0.8976034
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0.8965123
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0.89445174
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