most citedQuasi-Maximum Likelihood Estimation of long-memory linear processes

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math.ST2023★ 1 cited

Quasi-Maximum Likelihood Estimation of long-memory linear processes

Jean-Marc Bardet, Yves Gael Tchabo Mbienkeu

The purpose of this paper is to study the convergence of the quasi-maximum likelihood (QML) estimator for long memory linear processes. We first establish a correspondence between…