Gaussian semiparametric estimation of multivariate fractionally integrated processes
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Publication:145474
DOI10.1016/j.jeconom.2006.01.003zbMath1360.62446OpenAlexW2151279465MaRDI QIDQ145474
Katsumi Shimotsu, Katsumi Shimotsu
Publication date: April 2007
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/273538
Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
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