Quasi-Maximum Likelihood Estimation of long-memory linear processes - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2023

Quasi-Maximum Likelihood Estimation of long-memory linear processes

Abstract

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.
Fichier principal
Vignette du fichier
QMLE_Lin_JMVA.pdf (256.85 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-04250954 , version 1 (21-10-2023)
hal-04250954 , version 2 (21-05-2024)

Identifiers

Cite

Jean-Marc Bardet, Yves Gael Tchabo Mbienkeu. Quasi-Maximum Likelihood Estimation of long-memory linear processes. 2023. ⟨hal-04250954v1⟩
20 View
15 Download

Altmetric

Share

Gmail Facebook X LinkedIn More