Statistical inference using higher-order information

V.V. Anh, N.N. Leonenko and L.M. Sakhno

Journal of Multivariate Analysis, 2007, vol. 98, issue 4, 706-742

Abstract: This paper presents a class of minimum contrast estimators for stochastic processes with possible long-range dependence based on the information on higher-order spectral densities. The results on consistency and asymptotic normality of the proposed estimators are provided.

Keywords: Minimum; contrast; estimators; Higher-order; spectral; densities; Long-range; dependence; Consistency; Asymptotic; normality (search for similar items in EconPapers)
Date: 2007
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