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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ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
scientific article; zbMATH DE number 598020

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    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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