A Thresholding-Based Prewhitened Long-Run Variance Estimator and Its Dependence-Oracle Property
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Publication:4602128
DOI10.5705/ss.202016.0468zbMath1382.62049OpenAlexW2594199715MaRDI QIDQ4602128
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Publication date: 26 January 2018
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.202016.0468
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)
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