2]
0.0.1 #1
0.0.1 #1
Long-Memory Analysis
1. Introduction
2. Model Indepependent Tests for
against
2.1 Robust Rescaled Range Statistic
2.2 The KPSS Statistic
2.3 The Rescaled Variance
Statistic
2.4 Nonparametric Test for
3. Semiparametric Estimators in the Spectral Domain
3.1 Log-periodogram Regression
3.1.1 Average periodogram estimator
3.2 Semiparametric Gaussian Estimator
Bibliography