Maximum likelihood estimation of linear continuous time long memory processes with discrete time data

Henghsiu Tsai () and K. S. Chan

Journal of the Royal Statistical Society Series B, 2005, vol. 67, issue 5, 703-716

Abstract: Summary. We develop a new class of time continuous autoregressive fractionally integrated moving average (CARFIMA) models which are useful for modelling regularly spaced and irregu‐larly spaced discrete time long memory data. We derive the autocovariance function of a stationary CARFIMA model and study maximum likelihood estimation of a regression model with CARFIMA errors, based on discrete time data and via the innovations algorithm. It is shown that the maximum likelihood estimator is asymptotically normal, and its finite sample properties are studied through simulation. The efficacy of the approach proposed is demonstrated with a data set from an environmental study.

Date: 2005
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