Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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Publication:1084821
DOI10.1214/aos/1176349936zbMath0606.62096WikidataQ105584345 ScholiaQ105584345MaRDI QIDQ1084821
Publication date: 1986
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349936
asymptotic normality; maximum likelihood; asymptotic consistency; long range dependence; fractional Gaussian noise; fractional ARMA; estimation of spectral parameters; strongly dependent stationary Gaussian time series; Whittle's maximum likelihood approach
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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