ASYMPTOTIC PROPERTIES OF PARAMETER ESTIMATORS OF STATIONARY LONG MEMORY PROCESSES

Alex NOVIKOV
University of Technology
Sydney, Austalia

Nino KORDZAKHIA
Commonwealth Bank of Australia
Sydney, Austalia


ABSTRACT

We consider parameter estimators of stationary GARFIMA (Generalised Autoregressive Fractionally Integrated Moving Average) processes which exibit the long memory property. Some results about limit distributions of parameter estimates arepresented.



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