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Keyword: fractional processes;
3 results found.
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Peter M Robinson
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component cons...Read more...
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...
D Marinucci and Peter M Robinson
Averaged periodogram; nonstationary processes; fractional Brownian motion....Read more...