Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series

DOI10.1111/1467-9892.00248zbMath0984.62068OpenAlexW3122961312MaRDI QIDQ2784955

Clifford M. Hurvich

Publication date: 24 April 2002

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

Full work available at URL: http://archive.nyu.edu/handle/2451/14783

zbMATH Keywords

time seriesasymptotic expansionsmean square errorspectral densityleast squares estimationlong-memory parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Specification testing for regression models with dependent data ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Estimating fractional cointegration in the presence of polynomial trends ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION ⋮ Space‐time modelling of trends in temperature series

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