Mallows Distance in VARFIMA(0,d, 0) Processes

DOI10.1080/03610918.2011.627101zbMath1327.62367OpenAlexW1982792992MaRDI QIDQ5299805

Karine Zaniol, Sílvia R. C. Lopes, Guilherme Pumi

Publication date: 21 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.627101

zbMATH Keywords

copulashypothesis testsemiparametric estimationlong range dependenceempirical estimationVARFIMA processesKendall's \(\tau\) coefficientmallows distance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10)

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