The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence

S. Sethuraman and I. V. Basawa

Statistics & Probability Letters, 1997, vol. 31, issue 4, 285-293

Abstract: A vector time series model with long-memory dependence is introduced. It is assumed that, at each time point, the observations are equi-correlated. The model is based on a fractionally differenced autoregressive process (long-memory) adjoined to a Gaussian sequence with constant autocorrelation. The maximum likelihood estimators for the parameters in the model are derived and their asymptotic distributions are obtained.

Keywords: Time; series; Long-memory; dependence; Maximum; likelihood; estimation; Asymptotic; inference (search for similar items in EconPapers)
Date: 1997
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