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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Bibliographic Details
Main Authors: WANG, Xiaohu, XIAO, Weilin, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
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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
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