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Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

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  • Tomohito Naito
  • Kohei Asai
  • Tomoyuki Amano
  • Masanobu Taniguchi

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Suggested Citation

  • Tomohito Naito & Kohei Asai & Tomoyuki Amano & Masanobu Taniguchi, 2010. "Local Whittle likelihood estimators and tests for non-Gaussian stationary processes," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 163-174, October.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:3:p:163-174
    DOI: 10.1007/s11203-010-9044-9
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    References listed on IDEAS

    as
    1. Giraitis, Liudas & Robinson, Peter M., 2001. "Whittle estimation of ARCH models," LSE Research Online Documents on Economics 316, London School of Economics and Political Science, LSE Library.
    2. Giraitis, Liudas & Robinson, Peter M., 2001. "Whittle Estimation Of Arch Models," Econometric Theory, Cambridge University Press, vol. 17(3), pages 608-631, June.
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