Ludeña, Carenne Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram. (English) Zbl 0982.62073 Bernoulli 6, No. 4, 709-728 (2000). 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. Cited in 6 Documents MSC: 62M09 Non-Markovian processes: estimation 62F12 Asymptotic properties of parametric estimators Keywords:Gaussian processes; log-periodogram; long-range dependence; minimum contrast estimators; spectral estimates Citations:Zbl 0417.60048 PDFBibTeX XMLCite \textit{C. Ludeña}, Bernoulli 6, No. 4, 709--728 (2000; Zbl 0982.62073) Full Text: DOI Euclid