| Autor: |
Bardet, Jean-Marc, Mbienkeu, Yves Gael Tchabo |
| Rok vydání: |
2023 |
| Předmět: |
|
| Druh dokumentu: |
Working Paper |
| Popis: |
The purpose of this paper is to study the convergence of the quasi-maximum likelihood (QML) estimator for long memory linear processes. We first establish a correspondence between the long-memory linear process representation and the long-memory AR$(\infty)$ process representation. We then establish the almost sure consistency and asymptotic normality of the QML estimator. Numerical simulations illustrate the theoretical results and confirm the good performance of the estimator. |
| Databáze: |
arXiv |
| Externí odkaz: |
|
