Gaussian pseudo-maximum likelihood estimation of fractional time series models

DOI10.1214/11-AOS931zbMATH Open1246.62186arXiv1203.2750MaRDI QIDQ449990FDOQ449990

Authors: Javier Hualde, Peter M. Robinson 

Publication date: 3 September 2012

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

Abstract: We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/invertible region or the nonstationary or noninvertible regions. In these circumstances, a proof of consistency (which is a prerequisite for proving asymptotic normality) can be difficult owing to nonuniform convergence of the objective function over a large admissible parameter space. In particular, this is the case for the conditional sum of squares estimate, which can be expected to be asymptotically efficient under Gaussianity. Without the latter assumption, we establish consistency and asymptotic normality for this estimate in case of a quite general univariate model. For a multivariate model, we establish asymptotic normality of a one-step estimate based on an initial $sqrtn$-consistent estimate.

Full work available at URL: https://arxiv.org/abs/1203.2750

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zbMATH Keywords

asymptotic normalityconsistencyfractional processesnonstationarityGaussian estimationmultiple time seriesnoninvertibility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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