Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence

DOI10.1214/009053607000000136zbMath1126.62069arXiv0711.3589OpenAlexW1971141015MaRDI QIDQ2466680

Ngai Hang Chan, Boris Buchmann

Publication date: 16 January 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.3589

zbMATH Keywords

fractional Brownian motionlong-range dependencestochastic integralsfractional noiseautoregressive processfractional Ornstein-Uhlenbeck processunit-root problemfractional integrated noisenearly nonstationary processes

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) Markov processes: estimation; hidden Markov models (62M05)

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