Temporal Aggregation and Bandwidth selection in estimating long memory (Q3505325): Difference between revisions

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+W2245800703
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+A comparison of techniques of estimation in long-memory processes.
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+The detection and estimation of long memory in stochastic volatility
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+Semi-parametric smoothing estimators for long-memory processes with added noise
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+Robust Automatic Bandwidth for Long Memory
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+Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
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+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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+Long-Term Memory in Stock Market Prices
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+Averaged periodogram estimation of long memory
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+Rates of convergence and optimal spectral bandwidth for long range dependence
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+Higher-order kernel semiparametric M-estimation of long memory
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+Comparing the bias and misspecification in ARFIMA models
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+A critical look at Lo's modified \(R/S\) statistic.
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