Robust estimation of the scale and of the autocovariance function of Gaussian shortand long-range dependent processes
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Bibliographic InfoPaper provided by University of Toulouse 1 Capitole in its series Open Access publications from University of Toulouse 1 Capitole with number http://neeo.univ-tlse1.fr/3044/.
Date of creation: 2011
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Publication status: Published in Journal of Time Series Analysis (2011) v.32, p.135-156
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Web page: http://www.univ-tlse1.fr/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-27 (All new papers)
- NEP-ECM-2012-02-27 (Econometrics)
- NEP-ETS-2012-02-27 (Econometric Time Series)
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- Fox, Robert & Taqqu, Murad S., 1987. "Multiple stochastic integrals with dependent integrators," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 105-127, February.
- Chareka, Patrick & Matarise, Florance & Turner, Rolf, 2006. "A test for additive outliers applicable to long-memory time series," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 595-621, April.
- Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
- Boistard, Hélène & Levy-Leduc, Céline & Moulines, Eric & Reisen, Valdério Anselmo & Taqqu, Murad, 2011. "Asymptotic properties of u-processes under long-range dependence," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
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