Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series

DOI10.1111/1467-9892.00140zbMath0933.62095OpenAlexW3121931502MaRDI QIDQ4939805

Publication date: 1 March 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/14773

zbMATH Keywords

spectral density estimation long-memory processes autoregressive fractional integrated moving average models memory parameters

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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