Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process

DOI10.1111/jtsa.12465zbMath1421.62124OpenAlexW2935985539WikidataQ128086132 ScholiaQ128086132MaRDI QIDQ5226142

Daniel J. Nordman, Ujjwal Das, Soumendra Nath Lahiri

Publication date: 30 July 2019

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

Full work available at URL: https://doi.org/10.1111/jtsa.12465

zbMATH Keywords

long memoryM-estimatornon-central limit theoremsWiener-Itô integralsGeweke-Porter-Hudak estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Large deviations (60F10)

Related Items (2)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ Composite empirical likelihood for multisample clustered data

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