Efficient parameter estimation for self-similar processes
نویسندگان
چکیده
منابع مشابه
Efficient Parameter Estimation for Self - Similar Processes
In the paper [1] the author claimed to have established asymptotic normality and efficiency of the Gaussian maximum likelihood estimator (MLE) for long range dependent processes (with the increments of the self-similar fractional Brownian motion as a special case—hence, the title of the paper). The case considered in the paper was Gaussian stationary sequences with spectral densities fθ(x)∼ |x|...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2006
ISSN: 0090-5364
DOI: 10.1214/009053606000000182