A new simple test against spurious long memory using temporal aggregation (Q4914973): Difference between revisions

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+https://doi.org/10.1080/00949655.2010.483231
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+W2041618547
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+Varieties of long memory models
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+A simple nonlinear time series model with misleading linear properties
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Testing for a change of the long-memory parameter
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+Temporal Aggregation and Bandwidth selection in estimating long memory
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+Test for Parameter Change in Linear Processes Based on Whittle's Estimator
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+Long memory versus structural breaks: an overview
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+Modelling structural breaks, long memory and stock market volatility: an overview
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Long memory processes and fractional integration in econometrics
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+Fractional differencing
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+Testing and estimating for change in long memory parameter
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+Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
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+Central limit theorems for quadratic forms in random variables having long-range dependence
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+Publication:4914973