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Pré-Publication, Document De Travail Année : 2023

Quasi-Maximum Likelihood Estimation of long-memory linear processes

Résumé

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.
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Dates et versions

hal-04250954 , version 1 (21-10-2023)

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Jean-Marc Bardet, Yves Gael Tchabo Mbienkeu. Quasi-Maximum Likelihood Estimation of long-memory linear processes. 2023. ⟨hal-04250954⟩
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