ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
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Cites work
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- Efficient parameter estimation for self-similar processes
- Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On large-sample estimation for the mean of a stationary random sequence
- Penalised maximum likelihood estimation for fractional Gaussian processes
- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
- Valid Edgeworth expansion for the sample autocorrelation function under long range dependence.
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