Least squares estimators for nearly unstable processes for functionals of long-memory noises

DOI10.3233/RDA-2012-0066zbMath1370.62039MaRDI QIDQ4921209

Ngai Hang Chan, Weiwei Liu

Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0066

zbMATH Keywords

least squares estimator; nearly unstable processes; long-memory noises; Hermite Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M05: Markov processes: estimation; hidden Markov models