Statistical Inference Using Higher-Order Information
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Description
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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| ID Code: | 7397 | ||
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| Item Type: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
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| Measurements or Duration: | 37 pages | ||
| Keywords: | Asymptotic Normality, Consistency, Higher-Order Spectral Densities, Long-Range Dependence, Minimum Contrast Estimators | ||
| DOI: | 10.1016/j.jmva.2006.09.009 | ||
| ISSN: | 0047-259X | ||
| Pure ID: | 33704309 | ||
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology Past > QUT Faculties & Divisions > Science & Engineering Faculty Current > Research Centres > Australian Research Centre for Aerospace Automation |
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| 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: | 03 Mar 2024 17:04 |
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