Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models

DOI10.1111/1467-9892.00220zbMath0974.62081MaRDI QIDQ2740106

Julia Brodsky, Clifford M. Hurvich

Publication date: 16 September 2001

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00220

zbMATH Keywords

Gaussian processes; periodogram; spectral density; long-memory time series; fractional exponential models; stationar processes

Mathematics Subject Classification ID

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

62G05: Nonparametric estimation

62F10: Point estimation

62M15: Inference from stochastic processes and spectral analysis

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