Wavelets and estimation of long memory in nonstationary models: Does anything beat the exact local whittle estimator?

DOI10.1080/03610918.2014.995814zbMath1422.62364OpenAlexW2406133730MaRDI QIDQ2974923

Rabeh Khalfaoui, Mohamed Boutahar, Heni Boubaker

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.995814

zbMATH Keywords

waveletslong memorynonstationary models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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