Estimation of the location and exponent of the spectral singularity of a long memory process

DOI10.1111/j.1467-9892.2004.00337.xzbMath1051.62075MaRDI QIDQ4828170

Philippe Soulier, Javier Hidalgo

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00337.x

zbMATH Keywords

semiparametric estimation; long memory; fractionally differenced processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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