The Resource Time series with long memory, edited by Peter M. Robinson

Time series with long memory, edited by Peter M. Robinson

Label
Time series with long memory
Title
Time series with long memory
Statement of responsibility
edited by Peter M. Robinson
Contributor
Subject
Language
eng
Member of
Cataloging source
DLC
Illustrations
illustrations
Index
index present
LC call number
HB141
LC item number
.T53 2003
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Robinson, Peter M
Series statement
Advanced texts in econometrics.
http://library.link/vocab/subjectName
  • Econometric models
  • Mathematical statistics
Label
Time series with long memory, edited by Peter M. Robinson
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Contents
Long-memory time series / P.M. Robinson -- On large-sample estimation for the mean of a stationary random sequence / Rolf K. Adenstedt -- An introduction to long-memory time series models and fractional differencing / C.W.J. Granger and Roselyne Joyeux -- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series / Robert Fox and Murad S. Taqqu -- Long-term memory in stock market prices / Andrew W. Lo -- The estimation and application of long-memory time series models / John Geweke and Susan Porter-Hudak -- Gaussian semiparametric estimation of long-range dependence / P.M. Robinson -- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression / P.M. Robinson -- The detection and estimation of long memory in stochastic volatility / F. Jay Breidt, Nuno Crato, and Pedro de Lima -- Efficient tests of nonstationary hypotheses / P.M. Robinson -- Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes / Clifford M. Hurvich and Bonnie K. Ray -- Limit theorems for regressions with unequal and dependent errors / Friedjielm Eicker -- Time series regression with long-range dependence / P.M. Robinson and F.J. Hidalgo -- Semiparametric frequency domain analysis of fractional cointegration / P.M. Robinson and D. Marinucci
Dimensions
24 cm.
Extent
x, 382 p.
Isbn
9780199257294
Lccn
20020355 65
Other physical details
ill.
System control number
  • (OCoLC)50737185
  • (OCoLC)50737185
Label
Time series with long memory, edited by Peter M. Robinson
Publication
Bibliography note
Includes bibliographical references and index
Contents
Long-memory time series / P.M. Robinson -- On large-sample estimation for the mean of a stationary random sequence / Rolf K. Adenstedt -- An introduction to long-memory time series models and fractional differencing / C.W.J. Granger and Roselyne Joyeux -- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series / Robert Fox and Murad S. Taqqu -- Long-term memory in stock market prices / Andrew W. Lo -- The estimation and application of long-memory time series models / John Geweke and Susan Porter-Hudak -- Gaussian semiparametric estimation of long-range dependence / P.M. Robinson -- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression / P.M. Robinson -- The detection and estimation of long memory in stochastic volatility / F. Jay Breidt, Nuno Crato, and Pedro de Lima -- Efficient tests of nonstationary hypotheses / P.M. Robinson -- Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes / Clifford M. Hurvich and Bonnie K. Ray -- Limit theorems for regressions with unequal and dependent errors / Friedjielm Eicker -- Time series regression with long-range dependence / P.M. Robinson and F.J. Hidalgo -- Semiparametric frequency domain analysis of fractional cointegration / P.M. Robinson and D. Marinucci
Dimensions
24 cm.
Extent
x, 382 p.
Isbn
9780199257294
Lccn
20020355 65
Other physical details
ill.
System control number
  • (OCoLC)50737185
  • (OCoLC)50737185

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