RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
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Publication:4337825
DOI10.1111/1467-9892.00038zbMath0870.62073MaRDI QIDQ4337825
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Publication date: 18 September 1997
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00038
semiparametric models; long-range dependence; spectral density; optimal rates of convergence; minimax risk; asymptotic lower bound; degree of local smoothness; estimators of the memory parameter; log-periodogram regression estimator
62M15: Inference from stochastic processes and spectral analysis
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