Parametric estimation for Gaussian long-range dependent processes based onthe log-periodogram

Authors
Ludena, C
Citation
C. Ludena, Parametric estimation for Gaussian long-range dependent processes based onthe log-periodogram, BERNOULLI, 6(4), 2000, pp. 709-728
Citations number
12
Categorie Soggetti
Mathematics
Journal title
BERNOULLI
ISSN journal
13507265 → ACNP
Volume
6
Issue
4
Year of publication
2000
Pages
709 - 728
Database
ISI
SICI code
1350-7265(200008)6:4<709:PEFGLD>2.0.ZU;2-4
Abstract
We establish the consistency and asymptotic normality of a certain minimum contrast estimator, introduced by Taniguchi (1979), for Gaussian long-range dependent processes. The estimator is based on regression over the log-per iodogram in a parametric setting.