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

DOI10.1214/aos/1018031107zbMath0945.62085WikidataQ105584376 ScholiaQ105584376MaRDI QIDQ1807173

Murad S. Taqqu, Liudas Giraitis

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 series; quadratic forms; Hermite polynomials; long-range dependence; non-central limit theorem

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62E20: Asymptotic distribution theory in statistics

Related Items

Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence, Minimum contrast estimation of random processes based on information of second and third orders, Convergence of normalized quadratic forms, Central limit theorems for quadratic forms with time-domain conditions, On the Whittle estimators for some classes of continuous-parameter random processes and fields, The empirical process for bivariate sequences with long memory, A Note on Whittle's Likelihood

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