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On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series

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Author Info
Chen, Willa W.
Hurvich, Clifford M.
Lu, Yi

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Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jasa/2006/00000101/00000474/art00033
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Publisher Info
Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 101 (2006)
Issue (Month): (June)
Pages: 812-822
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Handle: RePEc:bes:jnlasa:v:101:y:2006:p:812-822

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  1. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, EconWPA. [Downloadable!]
  2. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Quantitative Finance Papers 0706.1836, arXiv.org. [Downloadable!]
  3. Zinovi L. Krougly & Hao Yu & A. Ian McLeod, 2007. "Algorithms for Linear Time Series Analysis: With R Package," Journal of Statistical Software, American Statistical Association, vol. 23(05), December. [Downloadable!]
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This page was last updated on 2010-1-15.

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