The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence

A vector time series model with long-memory dependence is introduced. It is assumed that, at each time point, the observations are equi-correlated. The model is based on a fractionally differenced autoregressive process (long-memory) adjoined to a Gaussian sequence with constant autocorrelation. The maximum likelihood estimators for the parameters in the model are derived and their asymptotic distributions are obtained.

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Year of publication:	1997
Authors:	Sethuraman, S. ; Basawa, I. V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 31.1997, 4, p. 285-293
Publisher:	Elsevier
Keywords:	Time series Long-memory dependence Maximum likelihood estimation Asymptotic inference

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

Persistent link: https://www.econbiz.de/10005254648