scientific article; zbMATH DE number 4176278

MaRDI QIDQ3200421zbMATH OpenFDO

Authors Markéta Čechová

Publication date 1989

zbMATH Keywords

strong consistencysingularityspectral densitylong memory processmodified maximum likelihood estimatorfractionally differenced white noise processlinear Gaussian processnonregular process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Recommendations

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• ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE
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• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM

Cited in

(2)

• Penalised maximum likelihood estimation for fractional Gaussian processes
• On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

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