Quasi-maximum Likelihood Estimation of Long-memory Limiting Aggregate Processes

@inproceedings{Tsai2006QuasimaximumLE,
  title={Quasi-maximum Likelihood Estimation of Long-memory Limiting Aggregate Processes},
  author={Henghsiu Tsai},
  year={2006}
}
We consider the application of the limiting aggregate model derived by Tsai and Chan (2005d) for modeling aggregated long-memory data. The model is characterized by the fractional integration order of the original process and may be useful for (i) modeling discrete-time data with sufficiently long sampling intervals, for example, annual data, and/or (ii) studying the fractional integration order of the original process. The fractional integration parameter is estimated by maximizing the Whittle… CONTINUE READING