Gaussian pseudo-maximum likelihood estimation of fractional time series models

Preprint, Other literature type English OPEN
Hualde, Javier; Robinson, Peter M.;
  • Publisher: The Institute of Mathematical Statistics
  • Journal: issn: 0090-5364
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1214/11-AOS931
  • Subject: asymptotic normality | 62M10 | Mathematics - Statistics Theory | Gaussian estimation | multiple time series | Fractional processes | nonstationarity | noninvertibility | 62F12 | consistency

We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/invertible region or the nonstationary or noninvertible regions. In these circumstances, a pr... View more
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