ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
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Publication:4680631
DOI10.1017/S0266466605050231zbMath1062.62194MaRDI QIDQ4680631
Publication date: 7 June 2005
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (1)
Cites Work
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On large-sample estimation for the mean of a stationary random sequence
- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
- VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE
- Penalised maximum likelihood estimation for fractional Gaussian processes
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
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