Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Xiaohu Wanga, Weilin Xiaob and Jun Yu
| Year of publication: |
2023
|
|---|---|
| Authors: | Wang, Xiaohu ; Xiao, Weilin ; Yu, Jun |
| Published in: |
Essays in honor of Joon Y. Park : econometric theory. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-210-0. - 2023, p. 73-95
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| Subject: | Least squares | local to unity | fractional Brownian motion | fractional Ornstein–Uhlenbeck process | fitted intercept | functional centrallimit theorem | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-90532023000045A002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014313249