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Keyword: nonstationary processes;
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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...
November 2004
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...
March 2004
D Marinucci and Peter M Robinson
The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...
July 2001
Averaged periodogram; nonstationary processes; fractional Brownian motion....Read more...
December 2000