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RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG-RANGE DEPENDENCE

โœ Scribed by Liudas Giraitis; Peter M. Robinson; Alexander Samarov


Book ID
108549275
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
265 KB
Volume
18
Category
Article
ISSN
0143-9782

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A vector time series model with long-memory dependence is introduced. It is assumed that, at each time point, the observations are equi-correlated. The model is based on a fractionally differenced autoregressive process (long-memory) adjoined to a Gaussian sequence with constant autocorrelation. The