Whittle pseudo-maximum likelihood estimation for nonstationary time series
AbstractWhittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (0.5 = d
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- Velasco, Carlos & Robinson, Peter M., . "Whittle pseudo-maximum likelihood estimation for nonstationary time series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4434, Universidad Carlos III de Madrid.
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- Velasco, Carlos, .
"Non-stationary log-periodogram regression,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/4554, Universidad Carlos III de Madrid.
- Velasco, Carlos, . "Non-stationary log-periodogram regression," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4346, Universidad Carlos III de Madrid.
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- Robinson, P. M., 1978. "Alternative models for stationary stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 8(2), pages 141-152, December.
- Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, vol. 73(1), pages 217-236, July.
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