Moment estimator for an AR(1) model driven by a long memory Gaussian noise

DOI10.1016/j.jspi.2022.06.003OpenAlexW4282826381WikidataQ114154273 ScholiaQ114154273MaRDI QIDQ2676893

Yanyan Li

Publication date: 28 September 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.12443

zbMATH Keywords

asymptotic normalityGaussian processalmost sure central limit theoremfourth moment theoremBerry-Esséen boundbreuer-major theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

Uses Software

• longmemo

Cites Work

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