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most citedHigher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

3 citations · 3 across the 1 of their papers we have counts for

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stat.ME2016

Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Don S. Poskitt, Gael M. Martin, Simone D. Grose

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, , in fractionally integrated processes. The re-sampling method…