The Averaged Periodogram for Nonstationary Vector Time Series
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References listed on IDEAS
- Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
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Keywordsaveraged periodogram; nonstationary processes; fractional Brownian motion;
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