An improvement of the GPH estimator.

DOI10.1016/S0165-1765(02)00121-0zbMath1169.91428MaRDI QIDQ1614831

Jonas Andersson

Publication date: 9 September 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

GPH estimatorSemi-parametric estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

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• Semiparametric analysis of long-memory time series
• Gaussian semiparametric estimation of long range dependence
• Estimation and information in stationary time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES

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