We show the consistency of the log-periodogram regression estimate of the long memory parameter for long range dependent linear, not necessarily Gaussian, time series when we make a pooling of ...
Under normality, we obtain higher-order approximations to the distributions of the periodogram and related statistics. Our approach is based on the theorem which decomposes the periodogram into the ...
The WEIGHTS statement specifies the relative weights used in the moving average applied to the periodogram ordinates to form the spectral density estimates. A WEIGHTS statement must be used to produce ...
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