Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
DOI10.1111/1467-9892.00220zbMath0974.62081OpenAlexW3125610179MaRDI QIDQ2740106
Julia Brodsky, Clifford M. Hurvich
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 processesperiodogramspectral densitylong-memory time seriesfractional exponential modelsstationar processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)
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