Detecting long-range dependence with truncated ratios of periodogram ordinates (Q5078575): Difference between revisions

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+Wavelet analysis of long-range-dependent traffic
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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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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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Estimation of the fractionally differencing parameter with the R/S method
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+Properties of moments of a family of GARCH processes
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+Fractional differencing
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+ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM 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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+Discrimination between monotonic trends and long-range dependence
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+Seasonal FIEGARCH processes
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+Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
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+On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Long‐Memory Time Series
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+Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
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+ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
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+ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
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+Generalization of the Kolmogorov--Smirnov test
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+Semiparametric analysis of long-memory time series
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+Efficient Tests of Nonstationary Hypotheses
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+Log-periodogram regression of time series with long range dependence
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