This study deals with the parameter estimation in long‐memory time series models. An unbiased and consistent estimator is proposed. The proposed estimator is based on a least‐squares method in the frequency domain, and it is computationally simple. Also, the Cramer–Rao lower bound is derived. The mean‐square error of the proposed estimator is order of O(1/ N ), where N is the number of samples. The accuracy of the estimates is verified using synthetic long‐memory time series data.
No takes yet. Share an insight, caveat, or question.
Kashyap et al. (1988) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: