Archivo Abierto Institucional de la Universidad Carlos III de Madrid: Optimal Spectral Kernel for Long-Range Dependent Time Series

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Please use this identifier to cite or link to this item: http://hdl.handle.net/10016/2432

Google™ Scholar. Others By: Delgado, Miguel A. - Robinson, Peter M.

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Title:	Optimal Spectral Kernel for Long-Range Dependent Time Series
Author(s):	Delgado, Miguel A. [delgado] Robinson, Peter M.
Publisher:	Elsevier
Issued date:	1996
Citation:	Statistics and Probability Letters. 1996, vol. 30, nº 1, p. 37-43
URI:	http://hdl.handle.net/10016/2432
ISSN:	0167-7152
DOI:	10.1016/0167-7152(95)00199-9
Abstract:	We derive an optimal kernel K(?) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K(?) ? 0 as ? ? 0.
Review:	PeerReviewed
Publisher version:	http://dx.doi.org/10.1016/0167-7152(95)00199-9
Keywords:	Long-range dependence Spectral analysis Optimal Kernel
Rights:	© Elsevier
Appears in Collections:	Economists Online DE - Artículos de Revistas