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Keyword: long memory processes;
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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
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