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Keyword: gaussian processes;

3 results found.

Econometrics Paper

Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole

Javier Hidalgo

We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...

January 2005

Econometrics Paper

The Memory of Stochastic Volatility Models

Peter M Robinson

A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and no...Read more...

February 2001

Econometrics Paper

The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models

James Davidson

A multivariate invariance principle is given for dependent processes exhibiting trending variances and other types of global nonstationarity. The limit processes obtained in these results are not Brownian motion, but mem...Read more...

1993