Large sample inference for long memory processes / Liudas Giraitis, Hira L. Koul, Donatas Surgailis.

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Bibliographic Details
Main Author: Giraitis, Liudas
Other Authors: Koul, H. L. (Hira L.), Surgailis, Donatas
Language:English
Published: London ; Hackensack : Imperial College Press ; distributed by World Scientific, [2012], ©2012.
Subjects:
Mathematical statistics.
Local Note:
MSU Stanley C. and Selma D. Hollander Faculty Book Collection
Physical Description:xvi, 577 pages : illustrations ; 24 cm
Format: Book
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.