Adaptive Estimation of the Lag of a Long–memory Process

Marc Hallin and Abdeslam Serroukh

Statistical Inference for Stochastic Processes, 1998, vol. 1, issue 2, 129 pages

Keywords: AMS 1980 subject classification: 62G10; 62M10.; time series; long memory process; adaptive estimation; local asymptotic normality; locally asymptotically minimax estimator (search for similar items in EconPapers)
Date: 1998
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Working Paper: Adaptive estimation of the lag of a long-memory process (1999)
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DOI: 10.1023/A:1009905527102

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