Adaptive estimation of the fractional differencing coefficient
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Publication:5950041
DOI10.2307/3318538zbMath1006.62082OpenAlexW2141930718MaRDI QIDQ5950041
Anatoli B. Juditsky, Eric Moulines, Philippe Soulier
Publication date: 10 March 2003
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1079399538
Gaussian processesadaptive estimationfractional differencinglog-periodogram regressionminimax estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Minimax procedures in statistical decision theory (62C20) Inference from stochastic processes and spectral analysis (62M15)
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