scientific article; zbMATH DE number 6026895

zbMath1248.62143MaRDI QIDQ5389657

Josu Arteche

Publication date: 23 April 2012

Full work available at URL: https://eudml.org/doc/33493

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

asymptotic propertiestime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Cites Work

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• Non-stationary log-periodogram regression
• Rates of convergence and optimal spectral bandwidth for long range dependence
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON GENERALIZED FRACTIONAL PROCESSES
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• Efficient Tests of Nonstationary Hypotheses
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES