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 2 (0; 1). It is shown that the estimator is consistent for all values of H 2 (0; 1). Moreover, t...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2682 https://ink.library.smu.edu.sg/context/soe_research/article/3681/viewcontent/FOU08_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |