Efficient tapered local Whittle estimation of multivariate fractional processes

DOI10.1016/J.JSPI.2021.03.005zbMath1477.62081OpenAlexW3165161987MaRDI QIDQ2242857

Masaki Narukawa

Publication date: 10 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.03.005

zbMATH Keywords

semiparametric estimationnonstationaritymultivariate time seriestaperingfractional processes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22)

Uses Software

• sapa

Cites Work

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