Resource title

Estimation of Mis-Specified Long Memory Models

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Resource description

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in parameter estimators which are slower than pn consistent. The conditions under which this happens are provided and the asymptotic distribution of the estimators is shown to be non-Gaussian. Conditions under which estimators of the parameters of the mis-specified model have the standard pn consistent and asymptotically normal behaviour are also provided.

Resource author

Rohit S. Deo, Willa W. Chen

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22177

Resource license

Adapt according to the presented license agreement and reference the original author.