Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

DOI10.2307/2669763zbMath1008.62087OpenAlexW2249245965MaRDI QIDQ4541343

Publication date: 30 July 2002

Full work available at URL: http://eprints.lse.ac.uk/2273/

long-range dependence tapering frequency domain estimation nonstationary fractional models nonstationary long memory time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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