Koul, Hira; Mimoto, Nao; Surgailis, Donatas - In: Metrika 76 (2013) 2, pp. 205-224
This paper addresses the problem of fitting a known density to the marginal error density of a stationary long memory moving average process when its mean is known and unknown. In the case of unknown mean, when mean is estimated by the sample mean, the first order difference between the residual...