Estimation of Parameters from Discrete Random Nonstationary Time Series
نویسندگان
چکیده
منابع مشابه
Whittle Pseudo-Maximum Likelihood Estimation of Nonstationary Time Series
where d 2 ( 1 2 ; 1 2 ) is the parameter that governs the degree of memory of the series. This is the interval of values of d for which the process is stationary and invertible. If d 2 (0; 1 2 ) then we say that the series exhibits long memory or long range dependence. When the observations are nonstationary, they are usually di erenced an integer number of times to achieve stationarity. If an ...
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ژورنال
عنوان ژورنال: Progress of Theoretical Physics Supplement
سال: 2009
ISSN: 0375-9687
DOI: 10.1143/ptps.179.198