Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity

DOI10.7916/D85H7TGMMaRDI QIDQ2744934zbMATH OpenOpenAlexFDO

Authors Marc Henry

Publication date 9 October 2001

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

Full work available at URL https://doi.org/10.1111/1467-9892.00234

zbMATH Keywords

consistencylong-memory indexRobinson estimatorspectral density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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