The Averaged Periodogram for Nonstationary Vector Time Series

D Marinucci and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Averaged periodogram; nonstationary processes; fractional Brownian motion.

Keywords: Averaged periodogram; nonstationary processes; fractional Brownian motion. (search for similar items in EconPapers)
Date: 2000-12
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2000/408

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