ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM

DOI10.1111/j.1467-9892.1994.tb00192.xzbMath0794.62054OpenAlexW2161952052MaRDI QIDQ4299034

Norma Terrin, Jan Beran

Publication date: 8 September 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00192.x

zbMATH Keywords

maximum likelihood estimationtime seriesquadratic formslong-range dependencefractional Gaussian noiseself-similardependence structureWhittle estimatormultivariate central limit theoremfractional ARIMAasymptotically independent

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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