ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

Offer Lieberman, Roy Rosemarin and Judith Rousseau

Econometric Theory, 2012, vol. 28, issue 2, 457-470

Abstract: Consistency, asymptotic normality, and efficiency of the maximum likelihood estimator for stationary Gaussian time series were shown to hold in the short memory case by Hannan (1973, Journal of Applied Probability 10, 130–145) and in the long memory case by Dahlhaus (1989, Annals of Statistics 34, 1045–1047). In this paper we extend these results to the entire stationarity region, including the case of antipersistence and noninvertibility.

Date: 2012
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