Change point in variance of fractionally integrated noise
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Publication:6579428
DOI10.1007/s00362-023-01490-5zbMATH Open1541.62243MaRDI QIDQ6579428
Publication date: 25 July 2024
Published in: Statistical Papers (Search for Journal in Brave)
long memoryRosenblatt processquasi-maximum likelihood estimatorchange point in variancefractionally integrated noise
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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