Estimation of the Dominating Frequency for Stationary and Nonstationary Fractional Autoregressive Models

DOI10.1111/1467-9892.00196zbMath0972.62087OpenAlexW2090351775MaRDI QIDQ2742778

Jan Beran, Sucharita Ghosh

Publication date: 23 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00196

zbMATH Keywords

maximum likelihoodlong-range dependencespectral densitydominating frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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