Efficient Parameter Estimation for Self-Similar Processes
The Annals of StatisticsPublished 1 December 1989Open access
Rainer Dahlhaus
Citations686
SJR quartileQ1
SJR score4.77
SNIP3.13
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Abstract
Asymptotic normality of the maximum likelihood estimator for the parameters of a long range dependent Gaussian process is proved. Furthermore, the limit of the Fisher information matrix is derived for such processes which implies efficiency of the estimator and of an approximate maximum likelihood estimator studied by Fox and Taqqu. The results are derived by using asymptotic properties of Toeplitz matrices and an equicontinuity property of quadratic forms.
Keywords
Computer Science