Optimal spectral kernel for long-range dependent time series

DOI10.1016/0167-7152(95)00199-9zbMATH Open0903.62074OpenAlexW1982985077MaRDI QIDQ1129458FDOQ1129458

Authors: Peter M. Robinson, Miguel Delgado 

Publication date: 16 August 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/2432

zbMATH Keywords

long-range dependenceoptimal kernelspectral averaging

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Semiparametric analysis of long-memory time series
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Discrimination between monotonic trends and long-range dependence
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Cited In (4)

• Perpetual learning and apparent long memory
• Data driven order selection for projection estimator of the spectral density of time series with long range dependence
• Kernel autocorrelogram for time-deformed processes
• Title not available (Why is that?)

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