most citedConditional-sum-of-squares estimation of models for stationary time series with long memory

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math.ST2007★ 19 cited

Conditional-sum-of-squares estimation of models for stationary time series with long memory

P. M. Robinson

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with…