Fast calibration of weak Farima models

DOI10.1051/PS/2022021arXiv2206.09982OpenAlexW4290239750MaRDI QIDQ6133911

Alexandre Brouste, Youssef Esstafa, M. Soltane, Samir Ben Hariz

Publication date: 21 August 2023

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.09982

zbMATH Keywords

consistencyasymptotic normalityleast squares estimatorLe Cam's one-step estimatorweak FARIMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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