Asymptotic properties of least squares estimator in local to unity processes with fractional Gaussian noises
This paper derives asymptotic properties of the least squares estimator of the autoregressive parameter in local to unity processes with errors being fractional Gaussian noises with the Hurst parameter H. It is shown that the estimator is consistent when H ∈ (0, 1). Moreover, the rate of convergence...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2458 https://ink.library.smu.edu.sg/context/soe_research/article/3457/viewcontent/FOU08_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |