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Estimation of the long-memory parameter, based on a multivariate central limit theorem

Estimation of the long-memory parameter, based on a multivariate central limit theorem

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BERAN, Jan, Norma TERRIN, 1994. Estimation of the long-memory parameter, based on a multivariate central limit theorem. In: Journal of Time Series Analysis. 15(3), pp. 269-278. ISSN 0143-9782

@article{Beran1994Estim-18821, title={Estimation of the long-memory parameter, based on a multivariate central limit theorem}, year={1994}, doi={10.1111/j.1467-9892.1994.tb00192.x}, number={3}, volume={15}, issn={0143-9782}, journal={Journal of Time Series Analysis}, pages={269--278}, author={Beran, Jan and Terrin, Norma} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/18821"> <dcterms:issued>1994</dcterms:issued> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dc:rights>deposit-license</dc:rights> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:bibliographicCitation>Publ. in: Journal of time series analysis ; 15 (1994), 3. - S. 269–278</dcterms:bibliographicCitation> <dcterms:title>Estimation of the long-memory parameter, based on a multivariate central limit theorem</dcterms:title> <dc:contributor>Terrin, Norma</dc:contributor> <dcterms:abstract xml:lang="eng">Long memory is known to occur in many fields of statistical application. Stationary processes whose correlations decay asymptotically like ‖k‖2H-2, where k is the lag and Hε (0.5, 1), provide useful parsimonious models with long memory. The parameter H characterizes the long-memory features of the data. For long time series, maximum likelihood estimation of H can be costly in terms of CPU time. In this paper, we show that, for disjoint stretches of the data, estimates of H and other parameters that characterize the dependence structure are asymptotically independent. Averaging these estimates leads to a fast and efficient approximate maximum likelihood method.</dcterms:abstract> <dc:language>eng</dc:language> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/18821"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T07:07:05Z</dcterms:available> <dc:creator>Beran, Jan</dc:creator> <dc:creator>Terrin, Norma</dc:creator> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T07:07:05Z</dc:date> </rdf:Description> </rdf:RDF>

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