Gaussian pseudo-maximum likelihood estimation of fractional time series models

DOI10.1214/11-AOS931zbMath1246.62186arXiv1203.2750MaRDI QIDQ449990

Publication date: 3 September 2012

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

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

zbMATH Keywords

consistency asymptotic normality nonstationarity fractional processes Gaussian estimation multiple time series noninvertibility

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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Cites Work