Statistical inference using higher-order information
This paper presents a class of minimum contrast estimators for stochastic processes with possible long-range dependence based on the information on higher-order spectral densities. The results on consistency and asymptotic normality of the proposed estimators are provided.
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|Item Type:||Journal Article|
|Keywords:||Minimum contrast estimators, higher-order spectral densities, long-range dependence|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)|
|Divisions:||Past > QUT Faculties & Divisions > Faculty of Science and Technology
Current > Research Centres > Science Research Centre
|Copyright Owner:||Copyright 2007 Elsevier|
|Copyright Statement:||Reproduced in accordance with the copyright policy of the publisher.|
|Deposited On:||04 May 2007 00:00|
|Last Modified:||29 Feb 2012 13:20|
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