Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
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Publication:2784955
DOI10.1111/1467-9892.00248zbMath0984.62068MaRDI QIDQ2784955
Publication date: 24 April 2002
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://archive.nyu.edu/handle/2451/14783
time series; asymptotic expansions; mean square error; spectral density; least squares estimation; long-memory parameter
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
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