Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

Leipus, Remigijus; Philippe, Anne; Pilipauskaite, Vytauté; Surgailis, Donatas

doi:10.1111/jtsa.12519

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Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

Leipus, Remigijus; Philippe, Anne; Pilipauskaite, Vytauté et al.

2020 • In Journal of Time Series Analysis, 41, p. 520-535

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/45729

DOI
10.1111/jtsa.12519

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Disciplines :

Mathematics

Author, co-author :

Leipus, Remigijus; Vilnius University > Faculty of Mathematics and Informatics

Philippe, Anne; Université de Nantes > Laboratoire de Mathématiques Jean Leray

Pilipauskaite, Vytauté ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)

Surgailis, Donatas; Vilnius University > Faculty of Mathematics and Informatics

External co-authors :

yes

Language :

English

Title :

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data

Publication date :

2020

Journal title :

Journal of Time Series Analysis

ISSN :

1467-9892

Publisher :

Wiley-Blackwell, United States

Volume :

Pages :

520-535

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBilu :

since 21 January 2021

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