Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence
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Publication:2703255
DOI10.1111/1467-9892.00181zbMath0958.62091MaRDI QIDQ2703255
Philippe Soulier, Eric Moulines
Publication date: 1 March 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00181
asymptotic optimality; log periodogram regression; adaptive dimension selection; projective estimation
62J05: Linear regression; mixed models
62M15: Inference from stochastic processes and spectral analysis
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