Inference for Long-memory Time Series Models Based on Modified Empirical Likelihood
نویسندگان
چکیده
منابع مشابه
Long memory time series models
For a long time the most frequently used models in time series analysis were the AR, MA and ARMA processes. Their spectral densities are continuous and therefore bounded functions on [ — n, it]. If the periodogram of real data reached significantly high values, it was considered as an indication of the trend or of a periodic component. The bias arising after trend removal in the spectral densit...
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ژورنال
عنوان ژورنال: Austrian Journal of Statistics
سال: 2020
ISSN: 1026-597X
DOI: 10.17713/ajs.v49i5.983