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Semiparametric estimation of the long-range parameter

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  • J. Hidalgo
  • Y. Yajima

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  • J. Hidalgo & Y. Yajima, 2003. "Semiparametric estimation of the long-range parameter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 705-736, December.
    • Handle: RePEc:spr:aistmt:v:55:y:2003:i:4:p:705-736
    DOI: 10.1007/BF02523390
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    References listed on IDEAS

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    1. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    2. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
    3. Liudas Giraitis & Peter M. Robinson & Alexander Samarov, 1997. "Rate Optimal Semiparametric Estimation Of The Memory Parameter Of The Gaussian Time Series With Long‐Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(1), pages 49-60, January.
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    Cited by:

    1. Yasumasa Matsuda & Yoshihiro Yajima, 2004. "On testing for separable correlations of multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 501-528, July.

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    Keywords

    Long-range dependence; spectral estimation;

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