Asymptotic properties of least squares estimator in local to unity processes with fractional Gaussian noises

• المؤلفون الرئيسيون: WANG, Xiaohu, XIAO, Weilin, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Least squares; Local to unity; Fractional Brownian motion; Fractional Ornstein-Uhlenbeck process; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2458; https://ink.library.smu.edu.sg/context/soe_research/article/3457/viewcontent/FOU08_.pdf
• المؤسسة: Singapore Management University

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...