Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram
Ludeña, Carenne
Bernoulli, Tome 6 (2000) no. 6, p. 709-728 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We establish the consistency and asymptotic normality of a certain minimum contrast estimator, introduced by Taniguchi (1979), for Gaussian long-range dependent processes. The estimator is based on regression over the log-periodogram in a parametric setting.
Publié le : 2000-08-14
Classification:  Gaussian processes,  log-periodogram,  long-range dependence,  minimum contrast estimators,  spectral estimates 
@article{1081449603,
     author = {Lude\~na, Carenne},
     title = {Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 709-728},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1081449603}
}

Ludeña, Carenne. Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram. Bernoulli, Tome 6 (2000) no. 6, pp.  709-728. http://gdmltest.u-ga.fr/item/1081449603/