Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics

Tucker S. McElroy; Dimitris N. Politis

Year of publication:	2014
Authors:	McElroy, Tucker ; Politis, Dimitris N.
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 1, p. 211-225
Subject:	Cyclical long memory \| Kernel spectral estimator \| Long range dependence \| Spectral confidence bands \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Volatilität \| Volatility

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