Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models

DOI10.1080/10485252.2016.1163350zbMath1343.62068OpenAlexW2318566544MaRDI QIDQ2811279

Masaki Narukawa

Publication date: 10 June 2016

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2016.1163350

zbMATH Keywords

semiparametric estimationlong memoryexponential modelscyclical behaviour

Mathematics Subject Classification ID

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

Related Items (1)

Estimation methods for stationary Gegenbauer processes

Uses Software

• Ox

Cites Work

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