Statistical inference using higher-order information

This paper presents a class of minimum contrast estimators for stochastic processes with possible long-range dependence based on the information on higher-order spectral densities. The results on consistency and asymptotic normality of the proposed estimators are provided.

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Year of publication:	2007
Authors:	Anh, V.V. ; Leonenko, N.N. ; Sakhno, L.M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 4, p. 706-742
Publisher:	Elsevier
Keywords:	Minimum contrast estimators Higher-order spectral densities Long-range dependence Consistency Asymptotic normality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005160397