Gaussian semiparametric estimation of long range dependence
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Publication:1914263
DOI10.1214/aos/1176324317zbMath0843.62092OpenAlexW2065541420WikidataQ29998899 ScholiaQ29998899MaRDI QIDQ1914263
Publication date: 21 August 1996
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176324317
tablesconsistencyasymptotic normalityMonte Carlospectral densitylong range dependenceGaussian estimationfinite-sample performancecovariance stationary processdiscrete averagingfrequency domain Gaussian likelihoodsemiparametric estimates
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)
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