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Large sample inference for long memory processes /

by Giraitis, Liudas.
Additional authors: Koul, H. L. -- (Hira L.) | Surgailis, Donatas.
Published by : Imperial College Press ; | Distributed by World Scientific Pub. Co., (London : | Hackensack, NJ :) Physical details: xvi, 577 p. : ill. ; 24 cm. ISBN:1848162782; 9781848162785. Year: 2012
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Item type Current location Collection Call number Status Date due Barcode
Books Books School of Theoretical Physics
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Books 519.5 GIR (Browse shelf) Available 11911

Includes bibliographical references (p. 554-570) and indexes.

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.

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