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20072024
most citedRobust estimation in time series with long and short memory properties

6 citations · 9 across the 5 of their papers we have counts for

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math.ST2007

Log-average periodogram estimator of the memory parameter

Valderio Reisen, Eric Moulines, Philippe Soulier +1

This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero…