{"paper":{"title":"Second Moment Estimator for An AR(1) Model Driven by A Long Memory Gaussian Noise","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.TH"],"primary_cat":"math.ST","authors_text":"Li Tian, Ying Li, Yong Chen","submitted_at":"2020-08-28T02:21:34Z","abstract_excerpt":"In this paper, we consider an inference problem for the first order autoregressive process driven by a long memory stationary Gaussian process. Suppose that the covariance function of the noise can be expressed as $\\abs{k}^{2H-2}$ times a function slowly varying at infinity. The fractional Gaussian noise and the fractional ARIMA model and some others Gaussian noise are special examples that satisfy this assumption. We propose a second moment estimator and prove the strong consistency and give the asymptotic distribution. Moreover, when the limit distribution is Gaussian, we give the upper Berr"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2008.12443","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2008.12443/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"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"}