RGSE—Semi-parametric estimator of long-memory parameter

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

RGSE—Semi-parametric estimator of long-memory parameter

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@RGSE estimates the "d" parameter for fractional integration using Robinson's Gaussian Semiparametric Estimator from Robinson(1992), "Semiparametric analysis of long-memory time series", Annals of Statistics, vol 22, 515-539. Alternative estimators are provided by @GPH and @AGFRACTD.

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Last bumped by TomDoan on Tue Oct 01, 2019 9:28 am.
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