Optimal spectral kernel for long-range dependent time series

DOI10.1016/0167-7152(95)00199-9zbMath0903.62074OpenAlexW1982985077MaRDI QIDQ1129458

Peter M. Robinson, Miguel A. Delgado

Publication date: 16 August 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/2432

zbMATH Keywords

long-range dependenceoptimal kernelspectral averaging

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items

Perpetual learning and apparent long memory

Cites Work

• Semiparametric analysis of long-memory time series
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Discrimination between monotonic trends and long-range dependence
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