Abstract
In this article, we study the parametric problem of estimating the coefficient for a discrete time model driven by a fractional Poisson noise, when high-frequency observations are given. We consider weighted least squares and maximum likelihood estimators. Thus, asymptotic behavior of the estimators is proved and a simulation study is shown to illustrate our results.
Original language | English |
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Journal | Communications in Statistics - Theory and Methods |
DOIs | |
State | Accepted/In press - 2021 |
Externally published | Yes |
Keywords
- 62F10
- 62F12
- 62M09
- Fractional Poisson process
- long memory
- maximum likelihood estimator
- weighted least square estimator