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Local Whittle estimation of the long-memory parameter
The Stata Journal: Promoting communications on statistics and Stata ( IF 4.8 ) Pub Date : 2020-09-22 , DOI: 10.1177/1536867x20953569 Christopher F. Baum 1 , Stan Hurn 2 , Kenneth Lindsay 3
中文翻译:
长内存参数的局部Whittle估计
更新日期:2020-09-22
The Stata Journal: Promoting communications on statistics and Stata ( IF 4.8 ) Pub Date : 2020-09-22 , DOI: 10.1177/1536867x20953569 Christopher F. Baum 1 , Stan Hurn 2 , Kenneth Lindsay 3
Affiliation
In this article, we describe and implement the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.
中文翻译:
长内存参数的局部Whittle估计
在本文中,我们描述并实现了时间序列的分数积分顺序的局部Whittle和精确的局部Whittle估计。