Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models (Q5177969): Difference between revisions

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scientific article; zbMATH DE number 6412984

Language	Label	Description	Also known as
English	Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models	scientific article; zbMATH DE number 6412984

Statements

instance of

scholarly article

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title

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models (English)

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author

Morten Ørregaard Nielsen

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published in

Journal of Time Series Analysis

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publication date

9 March 2015

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full work available at URL

http://ageconsearch.umn.edu/record/273758

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zbMATH Keywords

asymptotic normality

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conditional-sum-of-squares estimator

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consistency

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fractional integration

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fractional time series

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likelihood inference

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long memory

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non-stationary

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uniform convergence

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MaRDI profile type

MaRDI publication profile

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cites work

Q4845377

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An exponential model for the spectrum of a scalar time series

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Q5663204

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Efficient parameter estimation for self-similar processes

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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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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Q3911791

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The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

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Fractional Invariance Principle

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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Likelihood inference for a nonstationary fractional autoregressive model

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM

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ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

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Q4231779

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Uniform Convergence in Probability and Stochastic Equicontinuity

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EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

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Asymptotics for linear processes

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Efficient Tests of Nonstationary Hypotheses

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Gaussian semiparametric estimation of long range dependence

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Efficiency improvements in inference on stationary and nonstationary fractional time series

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NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

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Exact local Whittle estimation of fractional integration

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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Identifiers

zbMATH Open document ID

1326.62191

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DOI

10.1111/jtsa.12100

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5177969

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+Q4845377
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+Normal rank
@@ Property / cites work @@
+An exponential model for the spectrum of a scalar time series
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@@ Property / cites work @@
+Q5663204
@@ Property / cites work: Q5663204 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
+Normal rank
@@ Property / cites work @@
+Fractional Invariance Principle
@@ Property / cites work: Fractional Invariance Principle / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian pseudo-maximum likelihood estimation of fractional time series models
+Normal rank
@@ Property / cites work @@
+Likelihood inference for a nonstationary fractional autoregressive model
+Normal rank
@@ Property / cites work @@
+Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
+Normal rank
@@ Property / cites work @@
+A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
+Normal rank
@@ Property / cites work @@
+Q4231779
@@ Property / cites work: Q4231779 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform Convergence in Probability and Stochastic Equicontinuity
+Normal rank
@@ Property / cites work @@
+EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
+Normal rank
@@ Property / cites work @@
+Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
+Normal rank
@@ Property / cites work @@
+Asymptotics for linear processes
@@ Property / cites work: Asymptotics for linear processes / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Tests of Nonstationary Hypotheses
@@ Property / cites work: Efficient Tests of Nonstationary Hypotheses / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Efficiency improvements in inference on stationary and nonstationary fractional time series
+Normal rank
@@ Property / cites work @@
+NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
@@ Property / cites work: NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION / rank @@
+Normal rank
@@ Property / cites work @@
+Exact local Whittle estimation of fractional integration
+Normal rank
@@ Property / cites work @@
+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
+Normal rank
@@ Property / cites work @@
+Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
+Normal rank