New methods for the analysis of long-mem
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Miguel A. Delgado; Peter M. Robinson
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Article
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1994
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John Wiley and Sons
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English
โ 508 KB
Models for long-memory time series are considered in which the autocovariance sequence is parameterized only at very long lags or the spectral density is parameterized only at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed and are appl