Filters: Author is Robinson, P M [Clear All Filters]
A model for long memory conditional Heteroscedasticity. Annals of Applied Probability. 10:1002-1024.. 2000.
Whittle estimation of ARCH models. Econometric Theory. 17:608-631.. 2001.
Rate optimal semiparameter of the Gaussian time series with long range dependence. Journal of Time Series Analysis. 18:49-60.. 1997.
Variance-type Estimation of Long Memory. Stochastic Processes and their Applications. 80:1-24.. 1999.
Adaptive rate-optimal semiparametric estimation of the long memory parameter. Journal of Multivariate analysis. 72:183-207.. 2000.
LARCH, Leverage and Long Memory. Journal of Financial Econometrics. 2:177-210.. 2004.
Edgeworth expansions for semiparametric Whittle estimation of long memory. Annals of Statistics. 31:1325-1375.. 2003.
Estimation under long range dependence. Long Range Dependence: Theory and Applications.. 2003.
Gaussian estimation of parametric spectral density with unknown pole. Annals of Statistics. 29:987-1023.. 2001.
Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD