Quasi-maximum likelihood estimation of long-memory limiting aggregate processes

MaRDI QIDQ5468812zbMATH OpenFDO

Authors Henghsiu Tsai

Publication date 12 May 2006

zbMATH Keywords

ARFIMA modelsasymptotic normalitytemporal aggregationWhittle likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(5)

• Inference of seasonal long-memory aggregate time series
• Frequency-domain identification of continuous-time ARMA models from sampled data
• Inference of bivariate long-memory aggregate time series
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data

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