Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series

DOI10.1111/J.1467-9892.2008.00576.XzbMath1198.62089OpenAlexW2105568484MaRDI QIDQ3552843

Mohamed Boutahar

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00576.x

zbMATH Keywords

Brownian motioncyclesfunctional central limit theoremslong memoryautoregressive processesleast squares estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics ⋮ Testing for change in mean of independent multivariate observations with time varying covariance ⋮ Inducing normality from non-Gaussian long memory time series and its application to stock return data

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