Adaptive estimation of the lag of a long-memory process

DOI10.1023/A:1009905527102zbMath1061.62555OpenAlexW1538272454MaRDI QIDQ1962688

Marc Hallin, Abdeslam Serroukh

Publication date: 1998

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009905527102

zbMATH Keywords

time serieslocal asymptotic normalityadaptive estimationlong memory processlocally asymptotically minimax estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (3)

Spatial long memory ⋮ Local asymptotic normality for regression models with long-memory disturbance ⋮ Efficiency improvements in inference on stationary and nonstationary fractional time series

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