Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

DOI10.1016/j.jeconom.2014.05.004zbMath1311.62137OpenAlexW2157385378MaRDI QIDQ2511800

Pierre Perron, Jie Hou

Publication date: 6 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.004

zbMATH Keywords

long memory processadditive noiselocal-Whittle estimatorsrandom level shiftsshort memory dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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