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Large Sample Inference for Long Memory Processes Liudas Giraitis

Large Sample Inference for Long Memory Processes

Liudas Giraitis

Published March 1st 2011
ISBN : 9781848162785
Hardcover
596 pages
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 About the Book 

A discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag that is like a power of the lag, as the lag tends to infinity. This book presents basicMoreA discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag that is like a power of the lag, as the lag tends to infinity. This book presents basic theory and techniques of proving limit theorems for numerous statistics based on long memory processes.