Asymptotic normality of simultaneous estimators of cyclic long-memory processes

DOI10.1214/21-EJS1953zbMath1498.62175arXiv2011.06229OpenAlexW3101468932MaRDI QIDQ2136603

Myriam Fradon, Antoine Ayache, Ravindi Nanayakkara, Andrew Ya. Olenko

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.06229

zbMATH Keywords

asymptotic normalitywaveletcentral limit theoremfiltercyclic long-memoryestimators of parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random fields (60G60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

STOCHASTIC MODELLING AND STATISTICAL ANALYSIS OF SPATIAL AND LONG-RANGE DEPENDENT DATA ⋮ Inference for estimators of generalized long memory processes ⋮ Estimation methods for stationary Gegenbauer processes

Uses Software

• Waveslim

Cites Work

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