most citedSecond Moment Estimator for An AR(1) Model Driven by A Long Memory Gaussian Noise

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Second Moment Estimator for An AR(1) Model Driven by A Long Memory Gaussian Noise

Yong Chen, Li Tian, Ying Li

In this paper, we consider an inference problem for the first order autoregressive process driven by a long memory stationary Gaussian process. Suppose that the covariance function…