Convex combinations of long memory estimates from different sampling rates

DOI10.1007/s00180-006-0002-3zbMath1164.62386MaRDI QIDQ2463650

Jeremy Smith, Reinaldo C. Souza, Leonardo Rocha Souza

Publication date: 16 December 2007

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10438/431

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation