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Peter M Robinson
We provide a general class of tests for correlation in time series, spatial, spatiotemporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation ...Read more...
Marc Henry and Peter M Robinson
Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory f...Read more...
Andrew C Harvey and N.G. Shephard
A stochastic variance model may be estimated by quasi-maximum likelihood procedure by transforming to a linear state space form. The properties of observations corrected for heteroscedasticity can be derived. A model wit...Read more...