The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
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Publication:4386471
DOI10.1080/03610929808832123zbMath1130.62355OpenAlexW2047810695MaRDI QIDQ4386471
Publication date: 1998
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929808832123
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Cites Work
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- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Gaussian semiparametric estimation of long range dependence
- Estimation in long memory time series models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Identification of fractional differencing autoregressive models†
- Robustness of whittle-type estimators for time series with long-range dependence
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