Time varying long memory parameter estimation for locally stationary long memory processes

DOI10.1080/03610926.2018.1472777OpenAlexW2899018032WikidataQ129017489 ScholiaQ129017489MaRDI QIDQ5078131

Lihong Wang

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1472777

zbMATH Keywords

locally stationary long memory processlocal Whittle estimatorGPH estimatortime varying long memory parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Uses Software

• longmemo

Cites Work

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