Long-range dependent time series specification

DOI10.3150/12-BEJ427zbMath1280.62105arXiv1312.2788MaRDI QIDQ2435219

Jiying Yin, Qiying Wang, J. T. Gao

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.2788

zbMATH Keywords

Gaussian processescentral limit theoremlong-range dependencelinear processesspecification testingparametric time series regression

Mathematics Subject Classification ID

Related Items (3)

Invariance principles for linear processes with application to isotonic regression ⋮ Long-range dependent time series specification ⋮ Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors

Uses Software

• longmemo

Cites Work

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