Local whittle estimation of fractional integration for nonlinear processes

Keyphrases

• Nonlinear Process 100%
• Fractional Integration 100%
• Local Whittle Estimator 100%
• Nonlinear Time Series Model 66%
• Spectral Density 33%
• Asymptotic Properties 33%
• Heteroscedastic 33%
• Asymptotic Results 33%
• Memory Component 33%
• Global Smoothness 33%
• Autoregressive Integrated Moving Average (ARIMA) 33%
• Smoothness Condition 33%
• Long Memory Parameter 33%
• Short Memory 33%
• Conditional Heteroskedasticity 33%
• Type 1 Processes 33%
• Fractionally Integrated 33%

Mathematics

• Time Series Model 100%
• Fractional Integration 100%
• Conditionals 50%
• Asymptotics 50%
• Asymptotic Property 50%
• Wide Class 50%
• Spectral Density 50%
• Autoregressive Integrated Moving Average Model 50%