Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
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References listed on IDEAS
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More about this item
KeywordsDiscrete Fourier transform; fractional Brownian motion; fractional integration; long memory; nonstationarity; 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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