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A Semiparametric Estimator for Long-Range Dependent Multivariate Processes
Multivariate processes Long-range dependence Semiparametric estimation VARFIMA processes Asymptotic theory
2013/6/14
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time series. We generali...