Quasi-maximum likelihood estimation for a class of continuous-time long-memory processes

Journal of Time Series Analysis

Volumn 26, Issue 5, 2005, Pages 691-713

  Tsai, Henghsiu ^a   Chan, K S ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Asymptotic efficiency; Asymptotic normality; CARFIMA models; Fractional brownian motion; Whittle likelihood

Indexed keywords

EID: 24344494972     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00422.x     Document Type: Article

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