The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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Publication:3838319
DOI10.1111/1467-9892.00075zbMath0920.62108OpenAlexW2045351867MaRDI QIDQ3838319
Clifford M. Hurvich, Julia Brodsky, Rohit S. Deo
Publication date: 9 August 1998
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00075
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)
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