Efficient parameter estimation for self-similar processes

DOI10.1214/aos/1176347393zbMath0703.62091OpenAlexW4251238138WikidataQ105584378 ScholiaQ105584378MaRDI QIDQ916289

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1214/aos/1176347393

zbMATH Keywords

efficiency maximum likelihood estimator approximate maximum likelihood estimator Asymptotic normality asymptotic properties of Toeplitz matrices equicontinuity property of quadratic forms fractional ARMA limit of the Fisher information matrix long range dependent Gaussian process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Limit theorems in probability theory (60F99)

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