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Asymptotic normality of the discrete Fourier transform of long memory time series

✍ Scribed by Dinh Tuan Pham; Dominique Guégan


Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
660 KB
Volume
21
Category
Article
ISSN
0167-7152

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New methods for the analysis of long-mem
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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