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| HAL: hal-00184942, version 2 |
| arXiv: 0711.0513 |
| Detailed view |  Export this paper |
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| Available versions: | v1 (2007-11-04) | v2 (2009-12-19) |
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| Maximum likelihood estimators and random walks in long memory models |
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| Karine Bertin 1Soledad Torres 1 |
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| (2007-11-04) |
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| We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parameter. Our approach is based on the approximation by random walks of the driving noise. We study the asymptotic behavior of the estimators and we give some numerical simulations to illustrate our results. |
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| 1: | Departamento de Estadistica [Valparaiso] |
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Universidad de Valparaíso |
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| 2: | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon Sorbonne |
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| 3: | Statistique Appliquée et MOdélisation Stochastique (SAMOS) |
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Université Paris I - Panthéon Sorbonne |
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| SAMOS-MATISSE http://samos.univ-paris1.fr |
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| Subject | : | Mathematics/Statistics Statistics/Statistics Theory Mathematics/Probability |
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| Attached file list to this document: | ||||||||||
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| hal-00184942, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00184942 | |
| oai:hal.archives-ouvertes.fr:hal-00184942 | |
| From: Ciprian Tudor | |
| Submitted on: Friday, 18 December 2009 23:07:48 | |
| Updated on: Saturday, 19 December 2009 07:49:53 | |
