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• W2345280427 abstract "We consider the class of all stationary Gaussian process with explicit parametric spectral density. Under some conditions on the autocovariance function, we defined a GMM estimator that satisfies consistency and asymptotic normality, using the Breuer-Major theorem and previous results on ergodicity. This result is applied to the joint estimation of the three parameters of a stationary Ornstein-Uhlenbeck (fOU) process driven by a fractional Brownian motion. The asymptotic normality of its GMM estimator applies for any H in (0,1) and under some restrictions on the remaining parameters. A numerical study is performed in the fOU case, to illustrate the estimator's practical performance when the number of datapoints is moderate." @default.
• W2345280427 created "2016-06-24" @default.
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• W2345280427 date "2016-04-21" @default.
• W2345280427 modified "2023-10-01" @default.
• W2345280427 title "Parameter Estimation of Gaussian Stationary Processes using the Generalized Method of Moments" @default.
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