State space modeling of long-memory processes

DOI10.1214/aos/1028144856zbMath0929.62091OpenAlexW1983818306MaRDI QIDQ1807089

Ngai Hang Chan, Wilfredo Palma

Publication date: 9 November 1999

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

Full work available at URL: https://doi.org/10.1214/aos/1028144856

zbMATH Keywords

consistencyasymptotic normalityefficiencymaximum likelihoodMLEARFIMAlong-memorytruncated state space

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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Uses Software

• longmemo

Cites Work

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• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Time series: theory and methods.
• Gaussian semiparametric estimation of long range dependence
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Fractional differencing
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• The asymptotic theory of linear time-series models

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