Quasi-Maximum Likelihood Estimation of long-memory linear processes

Abstract

The purpose of this paper 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.