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Pré-Publication, Document De Travail Année : 2023

Generalized least squares estimation of fractional autoregressive models

Youssef Esstafa

Résumé

In this paper we derive the asymptotic properties of the generalized least squares estimator (GLSE) of autoregressive models endowed with fractional Gaussian noise (the so-called fractional autoregressive models). We establish the consistency and the asymptotic normality of the GLSE. Some simulation studies are presented to corroborate our theoretical work.
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Dates et versions

hal-04300303 , version 1 (22-11-2023)

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  • HAL Id : hal-04300303 , version 1

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Youssef Esstafa. Generalized least squares estimation of fractional autoregressive models. 2023. ⟨hal-04300303⟩
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