Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
DOI10.1214/22-EJS2009zbMath1493.62526OpenAlexW3174962230MaRDI QIDQ2137818
Javier Hualde, Morten Ørregaard Nielsen
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-1/Truncated-sum-of-squares-estimation-of-fractional-time-series-models/10.1214/22-EJS2009.full
consistencyasymptotic normalitynonstationaritydeterministic trendnoninvertibilityfractional processgeneralized polynomial trendgeneralized power law trendsum-of-squares estimation
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (1)
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