A limit theory for long-range dependence and statistical inference on related models

DOI10.1214/aos/1034276623zbMath0873.62096MaRDI QIDQ1355171

Yuzo Hosoya

Publication date: 19 May 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1034276623

zbMATH Keywords

singularities; conditional moments; martingale differences; central limit theorems; mixing conditions; quasi-likelihood estimate; long-range dependent processes; spectral density matrices; bracketing function approach; convergence of the covariances of quadratic forms; multiple Fejér kernel; quasi-likelihood ratio; serial covariances

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

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