The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process
DOI10.1515/ROSE-2013-0014zbMath1294.62204OpenAlexW1998923073MaRDI QIDQ2854187
Amadou Kamagate, Ouagnina Hili
Publication date: 17 October 2013
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2013-0014
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)
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