Variance-type estimation of long memory

DOI10.1016/S0304-4149(98)00062-3zbMath0955.62090MaRDI QIDQ1593608

Liudas Giraitis, Peter M. Robinson, Donatas Surgailis

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

aggregationsemiparametric modellong memory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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