TY - JOUR
T1 - Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processes
AU - Lieberman, Offer
AU - Rosemarin, Roy
AU - Rousseau, Judith
PY - 2012/4
Y1 - 2012/4
N2 - Consistency, asymptotic normality, and efficiency of the maximum likelihood estimator for stationary Gaussian time series were shown to hold in the short memory case by Hannan (1973, Journal of Applied Probability 10, 130-145) and in the long memory case by Dahlhaus (1989, Annals of Statistics 34, 1045-1047). In this paper we extend these results to the entire stationarity region, including the case of antipersistence and noninvertibility.
AB - Consistency, asymptotic normality, and efficiency of the maximum likelihood estimator for stationary Gaussian time series were shown to hold in the short memory case by Hannan (1973, Journal of Applied Probability 10, 130-145) and in the long memory case by Dahlhaus (1989, Annals of Statistics 34, 1045-1047). In this paper we extend these results to the entire stationarity region, including the case of antipersistence and noninvertibility.
UR - http://www.scopus.com/inward/record.url?scp=84859119148&partnerID=8YFLogxK
U2 - 10.1017/S0266466611000399
DO - 10.1017/S0266466611000399
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AN - SCOPUS:84859119148
SN - 0266-4666
VL - 28
SP - 457
EP - 470
JO - Econometric Theory
JF - Econometric Theory
IS - 2
ER -