Title:
Large sample inference for long memory processes
Author:
Giraitis, Liudas.
ISBN:
9781848162785
Personal Author:
Publication Information:
London ; Hackensack : Imperial College Press ; distributed by World Scientific, c2012.
Physical Description:
xvi, 577 p. : ill. ; 24 cm.
Contents:
1. Introduction -- 2. Some preliminaries -- 3. Long memory processes -- 4. Limit theory for sums -- 5. Properties of the DFT and the periodogram -- 6. Asymptotic theory for quadratic forms -- 7. Parametric models -- 8. Estimation -- 9. Elementary inference problems -- 10. Empirical processes -- 11. Regression models -- 12. Non-parametric regression -- 13. Model diagnostics -- 14. Appendix -- 15. Bibliography.
Subject Term: