A0206
Title: Quasi-maximum likelihood estimation of causal linear long memory processes
Authors: Jean Marc Bardet - University Paris Pantheon-Sorbonne (France) [presenting]
Yves Gael Tchabo MBienkeu - (Cameroon)
Abstract: The purpose is to study the convergence of the quasi-maximum likelihood (QML) estimator for long-memory linear processes. We first establish a correspondence between the long-memory linear process representation and the long-memory AR$(\infty)$ process representation. We then establish the almost sure consistency and asymptotic normality of the QML estimator. Numerical simulations illustrate the theoretical results and confirm the good performance of the estimator.
