PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN
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Publication:4807302
DOI10.1017/S0266466602183022zbMath1109.62354MaRDI QIDQ4807302
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Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Statistical aspects of information-theoretic topics (62B10)
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Testing for Breaks in Regression Models with Dependent Data ⋮ Whittle estimation of EGARCH and other exponential volatility models ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ NONPARAMETRIC PREDICTION WITH SPATIAL DATA ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models ⋮ Order Selection and Inference with Long Memory Dependent Data
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