Estimating Long Memory in Panel Random‐Coefficient AR(1) Data
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Publication:5121009
DOI10.1111/jtsa.12519zbMath1448.62062arXiv1710.09735OpenAlexW3003470746MaRDI QIDQ5121009
Anne Philippe, Remigijus Leipus, Donatas Surgailis, Vytautė Pilipauskaitė
Publication date: 16 September 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.09735
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Causal inference from observational studies (62D20)
Related Items (2)
Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models ⋮ Sample covariances of random-coefficient AR(1) panel model
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