Gaussian semiparametric estimation of long range dependence

DOI10.1214/AOS/1176324317zbMath0843.62092OpenAlexW2065541420WikidataQ29998899 ScholiaQ29998899MaRDI QIDQ1914263

Peter M. Robinson

Publication date: 21 August 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324317

zbMATH Keywords

tablesconsistencyasymptotic normalityMonte Carlospectral densitylong range dependenceGaussian estimationfinite-sample performancecovariance stationary processdiscrete averagingfrequency domain Gaussian likelihoodsemiparametric estimates

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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