Multiple local Whittle estimation in stationary systems
From MaRDI portal
Publication:955151
DOI10.1214/07-AOS545zbMath1274.62565arXiv0811.0948MaRDI QIDQ955151
Publication date: 18 November 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0811.0948
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
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