{"id":"W1919448723","doi":"10.1111/jtsa.12100","title":"Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models","year":2014,"lang":"en","type":"article","venue":"Journal of Time Series Analysis","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":39,"is_retracted":false,"has_abstract":true,"ca_institutions":"Queen's University","funders":"Social Sciences and Humanities Research Council of Canada; Canada Research Chairs","keywords":"Mathematics; Applied mathematics; Estimator; Multivariate statistics; Strong consistency; Conditional variance; Asymptotic distribution; Truncation (statistics); Series (stratigraphy); Statistics; Econometrics; Autoregressive conditional heteroskedasticity","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.01884395,0.001092284,0.001671103,0.00217729,0.0008954313,0.002097267,0.002612334,0.00178098,0.004089501],"category_scores_gemma":[0.1056037,0.0008377084,0.002059876,0.001653901,0.00462181,0.003847775,0.003242369,0.004630074,0.0008146399],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001753415,"about_ca_system_score_gemma":0.002901596,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00484969,"about_ca_topic_score_gemma":0.002495478,"domain_scores_codex":[0.993427,0.003851987,0.0002891041,0.0006135197,0.001494861,0.0003234871],"domain_scores_gemma":[0.9180133,0.06974389,0.002879503,0.004370585,0.004455619,0.000537195],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001047298,0.00007061566,0.004083502,0.0002793657,0.0002029406,0.0002285719,0.0003728443,0.2002593,0.001827615,0.7479015,0.002857746,0.04181135],"study_design_scores_gemma":[0.00001646448,0.00003486661,0.001018664,0.00006561243,0.00003079962,0.00008592753,0.00005582721,0.6750264,0.0008442022,0.321136,0.001652315,0.0000329161],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.01083985,0.0005644875,0.9851681,0.0008428058,0.00006747425,0.00002317784,0.00009225275,0.0002608456,0.002140968],"genre_scores_gemma":[0.6906013,0.002789708,0.2955111,0.0007221027,0.0007664416,0.000571218,0.001017837,0.001045523,0.006974696],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.01884395,"threshold_uncertainty_score":0.09965754,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02102829862676308,"score_gpt":0.2389251764105298,"score_spread":0.2178968777837667,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}