Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Journal of the American Statistical Association

Volumn 95, Issue 452, 2000, Pages 1229-1243

  Velasco, Carlos ^a   Robinson, Peter M ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Frequency domain estimation; Long range dependence; Nonstationary fractional models; Nonstationary long memory time series; Tapering

Indexed keywords

EID: 0005726766     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.2000.10474323     Document Type: Article

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