Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
From MaRDI portal
Publication:2784955
DOI10.1111/1467-9892.00248zbMath0984.62068MaRDI QIDQ2784955
Publication date: 24 April 2002
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://archive.nyu.edu/handle/2451/14783
time series; asymptotic expansions; mean square error; spectral density; least squares estimation; long-memory parameter
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
Related Items
Broadband semi-parametric estimation of long-memory time series by fractional exponential models, Estimating the Mean Direction of Strongly Dependent Circular Time Series, Space‐time modelling of trends in temperature series, Specification testing for regression models with dependent data, Estimating fractional cointegration in the presence of polynomial trends, BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION