A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes

Takeshi Kato and Elias Masry

Journal of Time Series Analysis, 2003, vol. 24, issue 6, 679-703

Abstract: Abstract. A covariance‐based estimator of the memory parameter of strongly dependent continuous‐time stationary processes is proposed. The consistency and asymptotic normality of the estimator are established. All assumptions, the form of the estimator, and the proofs are made in time‐domain only.

Date: 2003
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https://doi.org/10.1111/j.1467-9892.2003.00329.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:6:p:679-703

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