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)

Mathematics Subject Classification ID

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

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Cited in

(7)

• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
• Testing for Breaks in Regression Models with Dependent Data
• A bootstrap approximation for the distribution of the local Whittle estimator
• scientific article; zbMATH DE number 1069603 (Why is no real title available?)
• Order selection and inference with long memory dependent data
• Whittle estimation of EGARCH and other exponential volatility models

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