Log-periodogram regression of time series with long range dependence

DOI10.1214/aos/1176324636zbMath0838.62085OpenAlexW2063827883MaRDI QIDQ1906201

Peter M. Robinson

Publication date: 8 February 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324636

zbMATH Keywords

asymptotic normalityleast squareslong range dependencegeneralized least squaresspectral density matrixmultiple time series modelsdifferencing parameterslog-periodogram regression estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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