Time varying long memory parameter estimation for locally stationary long memory processes
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DOI: 10.1080/03610926.2018.1472777
Abstract: Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak… read more here.
Keywords: time varying; memory parameter; locally stationary; long memory ... See more keywords