Estimating a generalized long memory process
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Publication:1922365
DOI10.1016/0304-4076(95)01739-9zbMath0854.62083MaRDI QIDQ1922365
Publication date: 19 January 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01739-9
fractionally integrated process; Gegenbauer process; conditional sum of squares estimation; CSS estimation; functional of Brownian motions; two-parameter long memory process; unit-root limiting distribution
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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