The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process

被引：2

作者：

Kamagate, Amadou ^{[1
]}

Hili, Ouagnina ^{[2
]}

机构：

[1] 01 Bp 6389, Abidjan 01, Cote Ivoire

[2] INP Felix Houphouet Boigny, Yamoussoukro, Cote Ivoire

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2013年 / 21卷 / 03期

关键词：

Quasi-maximum-likelihood; long memory; multivariate time series; nonstationary ARFIMA process;

D O I：

10.1515/rose-2013-0014

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We estimate the parameters of a nonstationary multivariate ARFIMA (AutoRegressive Fractionally Integrated Moving Average) process by the quasi likelihood approach. Then, we define the pseudo-spectral density of the process. Under some assumptions, we establish consistency, asymptotic normality.

引用

页码：305 / 320

页数：16

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