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Large sample inference for long memory processes / Liudas Giratitis, Hira L. Koul, Donatas Surgailis.

By: Contributor(s): Material type: TextTextPublication details: London : Imperial College Press ; Hackensack, NJ : Distributed by World Scientific Pub. Co., c2012.Description: xvi, 577 p. : ill. ; 24 cmISBN:
  • 1848162782
  • 9781848162785
Subject(s): LOC classification:
  • QA276 .G55 2012
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.
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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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