The effect of tapering on the semiparametric estimators for nonstationary long memory processes

DOI10.1007/s00362-007-0071-6zbMath1309.62067OpenAlexW2015131032MaRDI QIDQ840964

Mohamed Boutahar, Leïla Nouira, Vêlayoudom Marimoutou

Publication date: 14 September 2009

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-007-0071-6

zbMATH Keywords

Monte Carlo studylong-range dependenceorder of taperingsemiparametric estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

Bootstrapping regression models with locally stationary disturbances ⋮ Detecting fuzzy periodic patterns in futures spreads

Uses Software

• longmemo

Cites Work

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