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arXiv · 2310.14711

Quasi-Maximum Likelihood Estimation of long-memory linear processes

Jean-Marc Bardet·Yves Gael Tchabo Mbienkeu
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Abstract

The purpose of this paper is to study the convergence of the quasi-maximum likelihood (QML) estimator for long memory linear processes. We first establish a correspondence between the long-memory linear process representation and the long-memory AR$(\infty)$ process representation. We then establish the almost sure consistency and asymptotic normality of the QML estimator. Numerical simulations illustrate the theoretical results and confirm the good performance of the estimator.

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Jean-Marc Bardet, Yves Gael Tchabo Mbienkeu. 2023-10-23. Quasi-Maximum Likelihood Estimation of long-memory linear processes. https://arxiv.org/abs/2310.14711

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