For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties well established. However, except for some specific cases, little is known about the estimation of the memory...

First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_n is an element of [0, 1) provided (1 - rho_n)n goes to infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho...

type="main" xml:id="jtsa12056-abs-0001"This article presents a general method for studentizing weighted sums of a linear process where weights are arrays of known real numbers and innovations form a martingale difference sequence. Asymptotical normality for such sums was established in Abadir et...