Exact Local Whittle Estimation of Fractional Integration
Year of publication: |
2003
|
---|---|
Authors: | Shimotsu, Katsumi ; Phillips, Peter C. B. |
Publisher: |
[S.l.] : SSRN |
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Präferenztheorie | Theory of preferences |
Extent: | 1 Online-Ressource (35 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2002 erstellt |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Local Polynomial Whittle Estimation Covering Non-Stationary Fractional Processes
Nielsen, Frank, (2009)
-
Discontinuity of Fully Extended (Local) Whittle Estimation
Cheung, Ying Lun, (2018)
-
Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna, (2011)
- More ...
-
Pooled log periodogram regression
Shimotsu, Katsumi, (2000)
-
Local Whittle estimation in nonstationary and unit root cases
Shimotsu, Katsumi, (2000)
-
Modified local Whittle esitmation of the memory parameter in the nonstationary case
Shimotsu, Katsumi, (2000)
- More ...