An efficient estimator for locally stationary Gaussian long-memory processes

Annals of Statistics

Volumn 38, Issue 5, 2010, Pages 2958-2997

  Palma, Wilfredo ^a   Olea, Ricardo ^a  

^a PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

Author keywords

Asymptotic normality; Consistency; Efficiency; Local stationarity; Long range dependence; Nonstationarity; Whittle estimation

Indexed keywords

EID: 77957586838     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AOS812     Document Type: Article

References (23)

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