State space modeling of long-memory processes

Annals of Statistics

Volumn 26, Issue 2, 1998, Pages 719-740

  Chan, Ngai Hang ^a   Palma, Wilfredo ^b  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

Author keywords

ARFIMA; Asymptotic normality; Consistency; Efficiency; Long memory; MLE; Truncated state space

Indexed keywords

EID: 0040585177     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1028144856     Document Type: Article

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