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Parameter estimation in low order fractionally differenced ARMA processes

โœ Scribed by Boes, D. C. ;Davis, R. A. ;Gupta, S. N.


Publisher
Springer
Year
1989
Tongue
English
Weight
663 KB
Volume
3
Category
Article
ISSN
0931-1955

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A closed-form expression for the exponential rate of an estimator in the Gaussian AR(1) process is obtained. This shows that the exponential rates of several famous estimators are all identical. Further it is shown that mean-correction does not affect the large deviation asymptotics. (~