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

zbMATH Keywords

long memorymultivariate time seriesnonstationary ARFIMA processquasi-maximum-likelihood

Mathematics Subject Classification ID

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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