Inference of Bivariate Long-memory Aggregate Time Series

DOI10.5705/ss.202016.0112zbMath1382.62048OpenAlexW2593129926MaRDI QIDQ4602131

Heiko Rachinger, Henghsiu Tsai, Kung-Sik Chan

Publication date: 26 January 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0112

zbMATH Keywords

aggregationasymptotic normalityfractional Gaussian noiseWhittle likelihoodspectral maximum likelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Inference from stochastic processes and spectral analysis (62M15)

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