Adaptive Estimation of the Lag of a Long–memory Process
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Bibliographic InfoArticle provided by Springer in its journal Statistical Inference for Stochastic Processes.
Volume (Year): 1 (1998)
Issue (Month): 2 (May)
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Web page: http://www.springerlink.com/link.asp?id=102997
Other versions of this item:
- Marc Hallin & Abdeslam Serroukh, 1999. "Adaptive estimation of the lag of a long-memory process," ULB Institutional Repository 2013/2085, ULB -- Universite Libre de Bruxelles.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Hallin & Bas Werker, 1998.
"Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests,"
ULB Institutional Repository
2013/2219, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2221, ULB -- Universite Libre de Bruxelles.
- Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.
- Rudolf Beran, 1976. "Adaptive estimates for autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 28(1), pages 77-89, December.
- Hallin, M. & Puri, L.M., 1992.
"Aligned Rank tests for Linear Models with Autocorrelated Error Terms,"
9202, Universite Libre de Bruxelles - C.E.M.E..
- Hallin, M. & Puri, M. L., 1994. "Aligned Rank Tests for Linear Models with Autocorrelated Error Terms," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 175-237, August.
- Marc Hallin & Madan L. Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
- Swensen, Anders Rygh, 1985. "The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 54-70, February.
- Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series /2004/480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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