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Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram. (English) Zbl 0982.62073

Summary: We establish the consistency and asymptotic normality of a certain minimum contrast estimator, introduced by M. Taniguchi [J. Appl. Probab. 16, 575-591 (1979; Zbl 0417.60048)], for Gaussian long-range dependent processes. The estimator is based on regression over the log-periodogram in a parametric setting.

MSC:

62M09 Non-Markovian processes: estimation
62F12 Asymptotic properties of parametric estimators

Citations:

Zbl 0417.60048
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