{"paper":{"title":"Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.ME","stat.TH"],"primary_cat":"math.ST","authors_text":"D.S. Poskitt, Gael M. Martin, Kanchana Nadarajah","submitted_at":"2014-07-05T00:07:49Z","abstract_excerpt":"We provide a comprehensive set of new results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric estimators - frequency domain maximum likelihood, Whittle, time domain maximum likelihood and conditional sum of squares - converge to the same pseudo-true value under common mis-specification, and that they possess a common asymptotic distribution. The results are derived assuming a completely general parametric specification for the short run dynamics of the estimated (mis-specified) fractional model, and with long"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1407.1347","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}