A frequency domain bootstrap for Whittle estimation under long-range dependence
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
- repec:eee:ecosta:v:4:y:2017:i:c:p:3-17 is not listed on IDEAS
- Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," Papers 1608.01895, arXiv.org, revised Oct 2017.
- Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," CREATES Research Papers 2016-21, Department of Economics and Business Economics, Aarhus University.
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KeywordsFARIMA; Interval estimation; Long memory; Spectral density; Periodogram;
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