On the eigenstructure of generalized fractional processes.

DOI10.1016/j.spl.2003.07.008zbMath1048.62087OpenAlexW2106616633MaRDI QIDQ1423091

Wilfredo Palma, Pascal Bondon

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/j.spl.2003.07.008

zbMATH Keywords

Toeplitz matrixBLUEGeneralized long memory processesLinear processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Eigenvalues, singular values, and eigenvectors (15A18) Asymptotic properties of parametric tests (62F05)

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Cites Work

• On large-sample estimation for the mean of a stationary random sequence
• Asymptotic theory of statistical inference for time series
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
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