MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (Q4979496): Difference between revisions

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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+Long memory and regime switching
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+On Multivariate Edgeworth Expansions
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+Large-sample inference for nonparametric regression with dependent errors
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+Log-periodogram regression of time series with long range dependence
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+A Test Against Spurious Long Memory
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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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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+AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
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+Fractional differencing
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+Estimation of fractional integration in the presence of data noise
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+Efficient parameter estimation for self-similar processes
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+Local polynomial Whittle estimation of perturbed fractional processes
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+The Hurst effect under trends
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+A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
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+The Distribution of Realized Exchange Rate Volatility
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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+Discrimination between monotonic trends and long-range dependence
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+Local Whittle estimation of the memory parameter in presence of deterministic components
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+Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
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+Non-stationary log-periodogram regression
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+Nonlinear log-periodogram regression for perturbed fractional processes
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+Publication:4979496