Adaptive estimation of the lag of a long-memory process
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|Date of creation:||1999|
|Date of revision:|
|Publication status:||Published in: Statistical Inference for Stochastic Processes (1999) v.1,p.111-129|
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Web page: http://difusion.ulb.ac.be
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- Marc Hallin & Bas Werker, 1998.
"Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests,"
ULB Institutional Repository
2013/2221, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2219, ULB -- Universite Libre de Bruxelles.
- Swensen, Anders Rygh, 1985. "The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 54-70, February.
- Rudolf Beran, 1976. "Adaptive estimates for autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 28(1), pages 77-89, December.
- Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994.
"Adaptive Estimation in Time Series Models,"
9488, Tilburg - Center for Economic Research.
- Marc Hallin & Madan Lal Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
- Hallin, M. & Puri, L.M., 1992.
"Aligned Rank tests for Linear Models with Autocorrelated Error Terms,"
9202, Universite Libre de Bruxelles - C.E.M.E..
- Hallin, M. & Puri, M. L., 1994. "Aligned Rank Tests for Linear Models with Autocorrelated Error Terms," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 175-237, August.
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