Statistical Inference for Stationary Processes

Jan Beran, Yuanhua Feng, Sucharita Ghosh and Rafal Kulik
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Jan Beran: University of Konstanz, Dept. of Mathematics and Statistics
Yuanhua Feng: University of Paderborn, Faculty of Business Administration and Economics
Sucharita Ghosh: Swiss Federal Research Institute WSL
Rafal Kulik: University of Ottawa, Dept. of Mathematics and Statistics

Chapter Chapter 5 in Long-Memory Processes, 2013, pp 385-528 from Springer

Abstract: Abstract This chapter deals with statistical inference for long-range dependent linear and subordinated processes. Some of the tools will also be used in Chaps. 6 and 7 when we shall consider corresponding problems for nonlinear and nonstationary long-memory time series.

Keywords: Local Whittle Estimator; Giraitis; Broadband Methods; Longer Memory; Long-memory Parameter (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-35512-7_5

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DOI: 10.1007/978-3-642-35512-7_5

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