Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Jie Hou; Pierre Perron
| Year of publication: |
2014
|
|---|---|
| Authors: | Hou, Jie ; Perron, Pierre |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 2, p. 309-328
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| Subject: | Long memory process | Random level shifts | Short memory dynamics | Additive noise | Local-Whittle estimators | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010497755