The distance between rival nonstationary fractional processes

DOI10.1016/j.jeconom.2004.08.015zbMath1335.62143OpenAlexW1973884078MaRDI QIDQ265027

Peter M. Robinson

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/2282/

zbMATH Keywords

rates of convergencefractional cointegrationmemory parameter estimationnonstationary fractional processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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