Pooled log periodogram regression

Journal of Time Series Analysis

Volumn 23, Issue 1, 2002, Pages 57-93

  Shimotsu, Katsumi ^a   Phillips, Peter C B ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040670119     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00575     Document Type: Article

References (8)

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3. HURVICH, C. M. and BELTRAO, K. I. (1994) Automatic semiparametric estimation of the memory parameter of a long-memory time series. Journal of Time Series Analysis 15, 285-302.
4. HURVICH, C. M., DEO, R. and BRODSKY, J. (1998) The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis 19, 19-46.
5. KÜNSCH, H. (1986) Discrimination between monotonie trends and long-range dependence. Journal of Applied Probability 23, 1025-30.
6. _ (1987) Statistical aspects of self similar processes. In Proceedings of the First World Congress of the Bernoulli Society, Vol. 1 (eds Yu. Prohorov and V.V. Sazanov). Utrecht: VNU Science Press, pp 67-74.
7. ROBINSON, P. M. (1995) Log-periodogram regression of time series with long range dependence. Annals of Statistics 23, 1048-72.
8. ZYGMUND, A. (1959) Trigonometric Series. Cambridge UK: Cambridge university Press.