Estimation spectrale avec mémoire longue et hétéroscédasticité conditionnelle

DOI10.1016/S0764-4442(99)90013-7zbMath0945.62092MaRDI QIDQ4719498

Marc Henry

Publication date: 15 February 2000

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

time seriescointegrationaveraged periodogramgeneralized linear process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) Generalized stochastic processes (60G20)

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