Multivariate analysis of long memory series in the frequency domain
This thesis examines some statistical procedures in the frequency domain to analyze long-memory series. We define a long-memory series and review part of the literature. Then we proceed by analyzing different estimation procedures for H, the parameter that characterizes the existence of long-memory....
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London School of Economics and Political Science (University of London)
1995
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645454 |