On a class of M-estimators for Gaussian long-memory models

DOI10.1093/biomet/81.4.755zbMath0812.62089OpenAlexW2028436263MaRDI QIDQ4323541

Jan Beran

Publication date: 22 February 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/81.4.755

zbMATH Keywords

algorithmsimulationinfluence functioncentral limit theoremlong memorylong-range dependencespectral densityapproximate maximum likelihood estimator\(M\)-estimatorsautoregressive representationfractional ARIMAredescending functionrobustness against additive outliersstationary Gaussian models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

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