Discrete Fourier Transforms of Fractional Processes
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References listed on IDEAS
- Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002.
"Band Spectral Regression with Trending Data,"
Econometric Society, vol. 70(3), pages 1067-1109, May.
- Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997. "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers 1163, Cowles Foundation for Research in Economics, Yale University.
- Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers 97-09, University of Iowa, Department of Economics.
- Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation for Research in Economics, Yale University.
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More about this item
KeywordsDiscrete Fourier transform; fractional Brownian motion; fractional integration; nonstationarity; operator decomposition; semiparametric estimation; Whittle likelihood;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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