Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
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Publication:2740106
DOI10.1111/1467-9892.00220zbMath0974.62081MaRDI QIDQ2740106
Clifford M. Hurvich, Julia Brodsky
Publication date: 16 September 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00220
Gaussian processes; periodogram; spectral density; long-memory time series; fractional exponential models; stationar processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62F10: Point estimation
62M15: Inference from stochastic processes and spectral analysis
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