NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION (Q3580634): Difference between revisions

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+.3180
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+Local Whittle estimation of fractional integration and some of its variants
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+Q3999154
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+Q2778406
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+Asymptotic spectral theory for nonlinear time series
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+The distance between rival nonstationary fractional processes
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+Efficient parameter estimation for self-similar processes
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+Q4682143
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+Weighted least squares estimators on the frequency domain for the parameters of a time series
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+Gaussian semiparametric estimation of long range dependence
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+Generalized autoregressive conditional heteroscedasticity
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+Log-periodogram regression of time series with long range dependence
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+Local Whittle estimation in nonstationary and unit root cases.
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+Nonstationarity-extended local Whittle estimation
@@ Property / cites work: Nonstationarity-extended local Whittle estimation / rank @@
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Minimum distance estimation of stationary and non‐stationary ARFIMA processes
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+Alternative forms of fractional Brownian motion
@@ Property / cites work: Alternative forms of fractional Brownian motion / rank @@
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+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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+Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
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+A limit theory for long-range dependence and statistical inference on related models
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+The asymptotic theory of linear time-series models
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+Central limit theorems for time series regression
@@ Property / cites work: Central limit theorems for time series regression / rank @@
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+ON GENERALIZED FRACTIONAL PROCESSES
@@ Property / cites work: ON GENERALIZED FRACTIONAL PROCESSES / rank @@
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+Gaussian inference on certain long-range dependent volatility models
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+Whittle estimator for finite-variance non-Gaussian time series with long memory
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+Limit theorems for iterated random functions
@@ Property / cites work: Limit theorems for iterated random functions / rank @@
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+ARCH-type bilinear models with double long memory.
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+On linear processes with dependent innovations
@@ Property / cites work: On linear processes with dependent innovations / rank @@
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+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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+Nonlinear system theory: Another look at dependence
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+WHITTLE ESTIMATION OF ARCH MODELS
@@ Property / cites work: WHITTLE ESTIMATION OF ARCH MODELS / rank @@
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+Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
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+On estimation of the integrals of the fourth order cumulant spectral density
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+An introduction to bispectral analysis and bilinear time series models
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+LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
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