A bootstrap approximation for the distribution of the local Whittle estimator

DOI10.1016/j.csda.2015.03.014zbMath1466.62021OpenAlexW2123474119MaRDI QIDQ1659154

Josu Arteche, Jesus Orbe

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.03.014

zbMATH Keywords

bootstraplong memorylocal Whittle estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Whittle-type estimation under long memory and nonstationarity

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