EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

DOI10.1017/S0266466619000422zbMath1462.62520OpenAlexW3010339789MaRDI QIDQ5859563

Josu Arteche

Publication date: 16 April 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466619000422

zbMATH Keywords

long memory time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Asymptotic normality of simultaneous estimators of cyclic long-memory processes ⋮ Inference for estimators of generalized long memory processes

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