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• Whittle estimator for finite-variance non-Gaussian time series with long memory AI翻译
  作者：Giraitis, L; Taqqu, MS
  作者单位：Boston University
  摘要：We consider time series Y-t = G(X-t) where X-t is Gaussian with long memory and G is a polynomial. The series Y-t may or may not have long memory. The spectral density g(theta)(x) of Y-t is parameterized by a vector theta and we want to estimate its true value theta(0). We use a least-squares Whittle-type estimator <(theta)over cap>(N) for theta(0), based on observations Y-1,...,Y-N. If Y-t is Gaussian, then root N(<(theta)over cap>(N)-theta(0)) converges to a Gaussian distribution. We show th...