Semiparametric analysis of long-memory time series

DOI10.1214/AOS/1176325382zbMath0795.62082OpenAlexW2086736386MaRDI QIDQ1327856

Peter M. Robinson

Publication date: 26 September 1994

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325382

zbMATH Keywords

regular variationcointegrationscale factorstandard errorssemiparametric statistical inferenceconsistency propertiesgeneralized least squares estimatesautocorrelation-consistent standard errorsdiscretely averaged periodogramleast squares estimates of polynomial regressionlong- memory errorslong-memory covariance stationary time seriesunknown self-similarity parameter

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

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