Adaptive estimation of the fractional differencing coefficient

DOI10.2307/3318538zbMath1006.62082MaRDI QIDQ5950041

Anatoli B. Juditsky, Eric Moulines, Philippe Soulier

Publication date: 10 March 2003

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1079399538

zbMATH Keywords

Gaussian processes; adaptive estimation; fractional differencing; log-periodogram regression; minimax estimation

Mathematics Subject Classification ID

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

62C20: Minimax procedures in statistical decision theory

62M15: Inference from stochastic processes and spectral analysis

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