The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

DOI10.1016/0304-4076(95)01738-0zbMath0854.62085MaRDI QIDQ1922364

Yuzo Hosoya

Publication date: 14 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01738-0

zbMATH Keywords

singularities; spectrum; large-sample theory; unified approach; quasi-likelihood ratio test; fractional ARIMA; bracketing function approach; multiple long-memory time-series; quasi-maximum-likelihood estimation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

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

62F05: Asymptotic properties of parametric tests

Related Items

A multivariate generalized long memory model, Maximum likelihood estimation in vector long memory processes via EM algorithm, A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes, Indirect estimation of ARFIMA and VARFIMA models, Efficient inference in multivariate fractionally integrated time series models

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