Log-periodogram regression of time series with long range dependence
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Publication:1906201
DOI10.1214/aos/1176324636zbMath0838.62085MaRDI QIDQ1906201
Publication date: 8 February 1996
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176324636
asymptotic normality; least squares; long range dependence; generalized least squares; spectral density matrix; multiple time series models; differencing parameters; log-periodogram regression estimate
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
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