Abstract
We establish the consistency and asymptotic normality of a certain minimum contrast estimator, introduced by Taniguchi (1979), for Gaussian long-range dependent processes. The estimator is based on regression over the log-periodogram in a parametric setting.
Citation
Carenne Ludeña. "Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram." Bernoulli 6 (4) 709 - 728, August 2000.
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