Large sample inference for long memory processes / Liudas Giratitis, Hira L. Koul, Donatas Surgailis.
Material type: TextPublication details: London : Imperial College Press ; Hackensack, NJ : Distributed by World Scientific Pub. Co., c2012.Description: xvi, 577 p. : ill. ; 24 cmISBN:- 1848162782
- 9781848162785
- QA276 .G55 2012
Item type | Current library | Collection | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Books | School of Theoretical Physics Library | Books | 519.5 GIR (Browse shelf(Opens below)) | Available | 11911 |
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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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