ESTIMATION IN LONG‐MEMORY TIME SERIES MODEL

R. L. Kashyap and Kie‐Bum Eom

Journal of Time Series Analysis, 1988, vol. 9, issue 1, 35-41

Abstract: This study deals with the parameter estimation in long‐memory time series models. An unbiased and consistent estimator is proposed. The proposed estimator is based on a least‐squares method in the frequency domain, and it is computationally simple. Also, the Cramer–Rao lower bound is derived. The mean‐square error of the proposed estimator is order of O(1/N), where N is the number of samples. The accuracy of the estimates is verified using synthetic long‐memory time series data.

Date: 1988
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https://doi.org/10.1111/j.1467-9892.1988.tb00451.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:1:p:35-41

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