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Alternative models for stationary stochastic processes

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  • Robinson, P. M.
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    Abstract

    We consider some parametric spectral estimators that can be used in a wide range of situations. Assuming the existence of fourth moments, we establish rates of convergence of the estimators, and a central limit theorem.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 8 (1978)
    Issue (Month): 2 (December)
    Pages: 141-152

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    Handle: RePEc:eee:spapps:v:8:y:1978:i:2:p:141-152

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    Related research

    Keywords: spectral density maximum likelihood rates of convergence central limit theorem;

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    Citations

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    Cited by:
    1. H. Linhart & P. Volkers, 1985. "On a criterion for the selection of models for stationary time series," Metrika, Springer, vol. 32(1), pages 181-196, December.
    2. Liudas Giraitis & Javier Hidalgo & Peter M Robinson, 2001. "Gaussian Estimation of Parametric Spectral Density with Unknown Pole," STICERD - Econometrics Paper Series /2001/424, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
    4. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series /2001/416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    5. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
    6. Zaffaroni, Paolo, 2009. "Whittle estimation of EGARCH and other exponential volatility models," Journal of Econometrics, Elsevier, vol. 151(2), pages 190-200, August.
    7. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 0235, European Central Bank.
    8. Peter M. Robinson & Javier Hualde, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
    9. L Giraitis & J Hidalgo & Peter M. Robinson, 2001. "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics 297, London School of Economics and Political Science, LSE Library.
    10. Kakizawa, Yoshihide, 1997. "Parameter estimation and hypothesis testing in stationary vector time series," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 225-234, May.
    11. Liudas Giraitis & Javier Hidalgo & Peter Robinson, 2001. "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics 2182, London School of Economics and Political Science, LSE Library.

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