Semi-parametric smoothing estimators for long-memory processes with added noise

Crato, Nuno, Ray, Bonnie K. . Journal of Statistical Planning and Inference 2002. 105 (2) :283-297

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Bibtex

@article{CIS-181017,
  Author = {Crato, Nuno and Ray, Bonnie K.},
  Title = {Semi-parametric smoothing estimators for long-memory processes with added noise},
  Journal = {Journal of Statistical Planning and Inference},
  Volume = {105},
  Number = {2},
  Year = {2002},
  Pages = {283--297},
  Keywords = {ARFIMA, autoregressive fractionally integrated moving average, volatility, Hurst's rescaled adjusted range analysis, R/S analysis, LMSV model, long-memory stochastic volatility models}
}

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