An Efficient Taper for Potentially Overdifferenced Long-memory Time Series

DOI10.1111/1467-9892.00179zbMath0958.62085MaRDI QIDQ2703252

Willa W. Chen, Clifford M. Hurvich

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/14778

zbMATH Keywords

semiparametric estimation; periodogram; spectral density; long-memory parameter

Mathematics Subject Classification ID

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

62G20: Asymptotic properties of nonparametric inference

62M15: Inference from stochastic processes and spectral analysis

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