Semi-parametric smoothing estimators for long-memory processes with added noise

DOI10.1016/S0378-3758(01)00275-0zbMath1009.62075WikidataQ57710968 ScholiaQ57710968MaRDI QIDQ1611815

Bonnie K. Ray, Nuno Crato

Publication date: 28 August 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

tables; stochastic volatility; ARFIMA; long-memory; spectral regression; R/S analysis; LMSV model

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

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