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

โœ Scribed by S. Sethuraman; I.V. Basawa

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
362 KB
Volume
31
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

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.

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