PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN

DOI10.1017/S0266466602183022MaRDI QIDQ4807302zbMATH OpenFDO

Authors

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466602183022

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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• Order selection and inference with long memory dependent data
• Testing for Breaks in Regression Models with Dependent Data
• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• Assessing volatility persistence in fractional Heston models with self-exciting jumps

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