M-periodogram for the analysis of long-range-dependent time series

DOI10.1080/02331888.2018.1427751zbMath1408.62146OpenAlexW2788689307MaRDI QIDQ4567925

F. A. Fajardo, Valdério Anselmo Reisen, Murad S. Taqqu, Céline Lévy-Leduc

Publication date: 20 June 2018

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2018.1427751

zbMATH Keywords

time seriesspectral analysisperiodogramlinear regressionM-estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)

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