Semiparametric analysis of long-memory time series
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Publication:1327856
DOI10.1214/aos/1176325382zbMath0795.62082OpenAlexW2086736386MaRDI QIDQ1327856
Publication date: 26 September 1994
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176325382
regular variationcointegrationscale factorstandard errorssemiparametric statistical inferenceconsistency propertiesgeneralized least squares estimatesautocorrelation-consistent standard errorsdiscretely averaged periodogramleast squares estimates of polynomial regressionlong- memory errorslong-memory covariance stationary time seriesunknown self-similarity parameter
Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)
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