Semiparametric estimation in perturbed long memory series

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2118-2141

  Arteche, J ^a  

^a UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

Author keywords

Perturbed long memory; Semiparametric estimation; Stochastic volatility

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; MONTE CARLO METHODS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

PERTURBED LONG MEMORY; SEMIPARAMETRIC ESTIMATION; STOCHASTIC VOLATILITY;

PERTURBATION TECHNIQUES;

EID: 33750973342     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.023     Document Type: Article

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