Browsing by Subject "Long memory"
Now showing items 1-3 of 3
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Article
Computer-intensive rate estimation, diverging statistics and scanning
(2007)A general rate estimation method is proposed that is based on studying the in-sample evolution of appropriately chosen diverging/converging statistics. The proposed rate estimators are based on simple least squares arguments, ...
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Article
Modelling long-term dependence in measurement errors of plutonium concentration
(1992)In this paper the fractional differenced autoregressive-moving average (ARMA) model is applied in order to model the long-term dependence of plutonium concentration measurements of a physical process, and its performance ...
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Article
Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
(2014)This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow ...