Large sample inference for long memory processes
Auteur :
Giraitis, Liudas / Koul, Hira L / Surgailis, Donatas
Éditeur :
Imperial College Press
ISBN :
9781848162785
Date de publication :
30 avr. 2012
Langue :
Anglais
Pays d'origine :
Grande Bretagne
A discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag that is like a power of the lag, as the lag tends to infinity. This book presents basic theory and techniques of proving limit theorems for numerous statistics based on long memory processes.