Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
DOI10.1111/jtsa.12100zbMath1326.62191OpenAlexW1919448723MaRDI QIDQ5177969
Publication date: 9 March 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/273758
consistencyasymptotic normalityuniform convergencefractional integrationlong memorylikelihood inferencenon-stationaryfractional time seriesconditional-sum-of-squares estimator
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (15)
Cites Work
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