Moment bounds and mean squared prediction errors of long-memory time series
نویسندگان
چکیده
منابع مشابه
Moment Bounds and Mean Squared Prediction Errors of Long-memory Time Series1 by Ngai
A moment bound for the normalized conditional-sum-of-squares (CSS) estimate of a general autoregressive fractionally integrated moving average (ARFIMA) model with an arbitrary unknown memory parameter is derived in this paper. To achieve this goal, a uniform moment bound for the inverse of the normalized objective function is established. An important application of these results is to establis...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2013
ISSN: 0090-5364
DOI: 10.1214/13-aos1110