Discrete Fourier Transforms of Fractional Processes
Year of publication: |
1999-12
|
---|---|
Authors: | Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Discrete Fourier transform | fractional Brownian motion | fractional integration | nonstationarity | operator decomposition | semiparametric estimation | Whittle likelihood |
-
Local Whittle Estimation in Nonstationary and Unit Root Cases
Shimotsu, Katsumi, (2000)
-
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
Shimotsu, Katsumi, (2000)
-
Exact Local Whittle Estimation of Fractional Integration
Shimotsu, Katsumi, (2002)
- More ...
-
Nonparametric Predictive Regression
Kasparis, Ioannis, (2012)
-
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Phillips, Peter C.B., (2012)
-
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Phillips, Peter C.B., (2012)
- More ...