Local Whittle estimation in nonstationary and unit root cases.

DOI10.1214/009053604000000139zbMath1091.62084arXivmath/0406462OpenAlexW2152704622MaRDI QIDQ1879948

Peter C. B. Phillips, Katsumi Shimotsu

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406462

zbMATH Keywords

trend discrete Fourier transform unit root semiparametric estimation fractional integration long memory nonstationarity Whittle likelihood fractional process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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Cites Work

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