Estimation in long memory time series models |
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| Authors: | Sat N. Gupta |
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| Affiliation: | Department of Mathematics and Statistics , University of Southern Maine , 96 Falmouth Street, Maine, 04103, Portland |
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| Abstract: | A regression type estimator of the parameter d in fractionally differenced ARMA (p,q) processes is presented. The proposed estimator is shown to be mean square consistent. Its performance is compared with some of the existing estimators via a simulation study. |
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| Keywords: | ARMA processes fractional differencing long memory spectral density regression estimates maximum likelihood estimates |
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