Estimating FARIMA models with uncorrelated but non-independent error terms
DOI10.1007/s11203-021-09243-7zbMath1478.62248arXiv1910.07213OpenAlexW3161868553MaRDI QIDQ2243555
Bruno Saussereau, Youssef Esstafa, Yacouba Boubacar Maïnassara
Publication date: 11 November 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.07213
consistencycumulantsasymptotic normalitynonlinear processesspectral density estimationleast-squares estimatorself-normalizationFARIMA models
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
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