Whittle estimator for finite-variance non-Gaussian time series with long memory

DOI10.1214/aos/1018031107zbMath0945.62085OpenAlexW1521091353WikidataQ105584376 ScholiaQ105584376MaRDI QIDQ1807173

Liudas Giraitis, Murad S. Taqqu

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/1018031107

zbMATH Keywords

time seriesquadratic formsHermite polynomialslong-range dependencenon-central limit theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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