Efficiency improvements in inference on stationary and nonstationary fractional time series

DOI10.1214/009053605000000354zbMath1078.62096arXivmath/0508284OpenAlexW2051257302MaRDI QIDQ2583420

Peter M. Robinson

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508284

zbMATH Keywords

nonstationary processesadaptive estimation\(M\)-estimationseries estimationfractional processesefficient semiarametric estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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