ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
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Publication:3777276
DOI10.1111/j.1467-9892.1988.tb00463.xzbMath0637.62085OpenAlexW2022417635MaRDI QIDQ3777276
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Publication date: 1988
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00463.x
spectral densitybest linear unbiased estimatorfractional Gaussian noisestationary time seriesrelative efficiencyfractional ARIMAlong-memory noiseordinary least squares estimatesefficiency of sample mean
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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