Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Convex combinations of long memory estimates from different sampling rates"

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    • Convex combinations of long memory estimates from different sampling rates 

      Souza, Leonardo Rocha; Smith, Jeremy; Souza, Reinaldo Castro
      2003-07-02
      Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of ...