Efficiency improvements in inference on stationary and nonstationary fractional time series

Annals of Statistics

Volumn 33, Issue 4, 2005, Pages 1800-1842

  Robinson, P M ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Adaptive estimation; Efficient semiparametric estimation; Fractional processes; M estimation; Nonstationary processes; Series estimation

Indexed keywords

EID: 26444463130     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053605000000354     Document Type: Article

References (32)

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