International Journal of Statistics and Probability
The Quasi Maximum Likelihood Approach to Statistical Inference on a Nonstationary Multivariate ARFIMA Process
Abstract
In this Note, we estimate the parameters of a nonstationary multivariate ARFIMA (AutoRegressive Fractionally Integrated Moving Average) process by the quasi likelihood approach. Then, we define the pseudo spectral density of the process. Under some assumptions, we establish Consistency and Asymptotic normality.
Refbacks
- There are currently no refbacks.
This work is licensed under a Creative Commons Attribution 3.0 License.
International Journal of Statistics and Probability ISSN 1927-7032(Print) ISSN 1927-7040(Online)
Copyright © Canadian Center of Science and Education
To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.
----------------------------------------------------------------------------------------------------------------------------------------------------------------------
