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Asymptotic Theory for Maximum Likelihood Estimation of the Memory Parameter in Stationary Gaussian Processes

dc.contributor.authorLieberman, Offer
dc.contributor.authorRosemarin, Roy
dc.contributor.authorRousseau, Judith
dc.date.accessioned2011-11-23T15:29:12Z
dc.date.available2011-11-23T15:29:12Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7622
dc.language.isoenen
dc.subjectIntermediate Memoryen
dc.subjectLong Range Dependenceen
dc.subjectMaximum Likelihood Estimationen
dc.subjectToeplitz Matrixen
dc.subject.ddc519en
dc.subject.classificationjelC13en
dc.subject.classificationjelC22en
dc.titleAsymptotic Theory for Maximum Likelihood Estimation of the Memory Parameter in Stationary Gaussian Processesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Statistics London School of Economics;Royaume-Uni
dc.contributor.editoruniversityotherDepartment of Economics University of Haiffa;Israël
dc.description.abstractenConsistency, asymptotic normality and e ciency of the maximum likelihood estimator for stationary Gaussian time series, were shown to hold in the short memory case by Hannan (1973) and in the long memory case by Dahlhaus (1989). In this paper, we extend these results to the entire stationarity region, including the case of intermediate memory and noninvertibility. In the process of proving the main results, we provide a useful theorem on the limiting behavior of a product of Toeplitz matrices under strictly weaker conditions than those employed by Dahlhaus (1989).en
dc.relation.isversionofjnlnameEconometric Theory
dc.relation.isversionofjnlvol28
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages457-470
dc.relation.isversionofdoihttp://dx.doi.org/10.1017/S0266466611000399en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00641474/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherCambridge University Pressen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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