A Generalization of a Gaussian Semiparametric Estimator on Multivariate Long-Range Dependent Processes

Abstract: In this paper we propose and study a general class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter in the context of long-range dependent multivariate time series. We establish large sample properties of the estimator without assuming Gaussianity. The class of models considered here satisfies simple conditions on the spectral density function, restricted to a small neighborhood of the zero frequency and includes important class of VARFIMA processes. We also present a simulation study to assess the finite sample properties of the proposed estimator based on a smoothed version of the GSE which supports its competitiveness.