The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process

Amadou Kamagaté; Ouagnina Hili

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The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process

机译：非平稳多元ARFIMA过程的拟最大似然方法统计推断

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摘要

We estimate the parameters of a nonstationary multivariate ARFIMA (Auto-Regressive Fractionally Integrated Moving Average) process by the quasi likelihood approach. Then, we define the pseudo-spectral density of the process. Under some assumptions, we establish consistency, asymptotic normality.

机译：我们通过拟似然法估计了非平稳多元ARFIMA（自回归分数积分移动平均）过程的参数。然后，我们定义了过程的伪谱密度。在某些假设下，我们建立一致性，渐近正态性。

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来源
《Random operators and stochastic equations》 |2013年第3期|共16页
作者
Amadou Kamagaté; Ouagnina Hili;
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正文语种 eng
中图分类随机微分方程;
关键词
Quasi-maximum-likelihood; long memory; multivariate time series; nonstationary ARFIMA process;

机译：拟最大似然;长记忆;多元时间序列;非平稳ARFIMA过程;

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专利

1. The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process [J] . Amadou Kamagaté, Ouagnina Hili Random operators and stochastic equations . 2013,第3期

机译：非平稳多元ARFIMA过程的拟最大似然方法统计推断
2. Analytical quasi maximum likelihood inference in multivariate volatility models [J] . Christian M. Hafner, Helmut Herwartz Metrika . 2008,第2期

机译：多元波动率模型中的拟最大似然分析
3. Analytical quasi maximum likelihood inference in multivariate volatility models [J] . Christian M. Hafner, Helmut Herwartz Metrika: International Journal for Theoretical and Applied Statistics . 2008,第2期

机译：多元波动率模型中的拟最大似然分析
4. Data Fusion for Hydrothermal Reservoir Characterization through use of Bayesian Statistical Inference and MCMC Maximum Likelihood Models [C] . Cari D. Covell, Agust Valfells, Maria S. Guojonsdottir, Workshop on Geothermal Reservoir Engineering . 2017

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5. Two topics: A jackknife maximum likelihood approach to statistical model selection, and, A convex hull peeling depth approach to nonparametric massive multivariate data analysis with applications. [D] . Lee, Hyunsook. 2006

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6. Statistical inference under order restrictions in analysis of covariance using a modified restricted maximum likelihood estimator [O] . Joshua Betcher, Shyamal D. Peddada -1

机译：使用修正的受限最大似然估计量在协方差分析中受顺序限制的统计推断
7. The Quasi Maximum Likelihood Approach to Statistical Inference on a Nonstationary Multivariate ARFIMA Process [O] . Amadou KAMAGATE, Ouagnina HILI 2013

机译：非平稳多元ARFIMA过程的统计推断的拟最大似然方法
8. Are Survey Weights Necessary: The Maximum Likelihood Approach to Sample Survey Inference [R] . Chambers, R. L., Dorfman, A. H., Wang, S. 2008

机译：调查权重是否必要：抽样调查推断的最大似然方法

The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process

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