On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean*

Abstract

There are two approaches to maximum likelihood (ML) estimation of the parameter of fractionallyintegrated noise: approximate frequency-domain ML [Fox and Taqqu (1986)] and exact timedomain ML [Sowell (1992b)]. If the mean of the process is known, then a clear finite-sample mean-squared error ranking of the estimators emerges: the exact time-domain estimator… (More)

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Cite this paper

@inproceedings{Cheung1991OnML, title={On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean*}, author={Yin-wong Cheung and Francis X. Diebold}, year={1991} }