Local Whittle estimation in time-varying long memory series

DOI10.1111/JTSA.12782MaRDI QIDQ6962068zbMATH OpenFDO

Authors Josu Arteche, Luis Filipe Martins

Publication date 9 July 2025

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

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

local stationaritylong memorytime-varying parameterlocal Whittle estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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