A Time-Domain Semi-parametric Estimate for Strongly Dependent Continuous-Time Stationary Processes

A covariance-based estimator of the memory parameter of strongly dependent continuous-time stationary processes is proposed. The consistency and asymptotic normality of the estimator are established. All assumptions, the form of the estimator, and the proofs are made in time-domain only. Copyright 2003 Blackwell Publishing Ltd.

MoreLess

Year of publication:	2003
Authors:	Kato, Takeshi ; Masry, Elias
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 6, p. 679-703
Publisher:	Wiley Blackwell

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260668