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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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Holdings
Item type Current library Collection Call number Status Date due Barcode
Books Books School of Theoretical Physics Library Books 519.5 GIR (Browse shelf(Opens below)) 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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