Nonparametric frequency domain analysis of nonstationary multivariate time series
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Publication:1400133
DOI10.1016/S0378-3758(02)00235-5zbMath1020.62088OpenAlexW2079284115MaRDI QIDQ1400133
Publication date: 13 August 2003
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00235-5
coherencesemiparametric estimationlong memorylong-range dependencespectral densityfractional cointegration
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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Uses Software
Cites Work
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