ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

DOI10.1017/S0266466611000399zbMath1298.62044MaRDI QIDQ5389961

Offer Lieberman, Roy Rosemarin, Judith Rousseau

Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

62F12: Asymptotic properties of parametric estimators

60G15: Gaussian processes

60G10: Stationary stochastic processes

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Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models, Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes, BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP, Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process

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