scientific article; zbMATH DE number 772913

MaRDI QIDQ4838522zbMATH OpenFDO

Authors J. R. Court, Shelton Peiris

Publication date 12 July 1995

zbMATH Keywords

estimator of degree of differencingfractional differencinglong memory time seriesspectral density estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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(8)

• The bias of lag window estimators of the fractional difference parameter.
• Fast computation and practical use of amplitudes at non-Fourier frequencies
• An efficient taper for potentially overdifferenced long-memory time series
• A note on time series differencing
• ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• Time Domain Estimation of Long Range Dependence
• Improving the lag window estimators of the spectrum and memory for long-memory stationary Gaussian processes

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