The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence

DOI10.1016/S0167-7152(96)00041-7zbMath0880.62093OpenAlexW2057479538MaRDI QIDQ1359733

Ishwar V. Basawa, Sankara N. Sethuraman

Publication date: 6 July 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00041-7

zbMATH Keywords

maximum likelihood estimationtime seriesasymptotic inferencelong-memory dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items

Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise, Local asymptotic normality for regression models with long-memory disturbance

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