Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

Tomohito Naito (), Kohei Asai (), Tomoyuki Amano () and Masanobu Taniguchi ()

Statistical Inference for Stochastic Processes, 2010, vol. 13, issue 3, 163-174

Keywords: Non-Gaussian linear process; Local Whittle likelihood estimator; Spectral density; Local likelihood ratio test; Primary 62G07; 62M15; Secondary 62G10; 62G20 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11203-010-9044-9

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