Local Whittle estimation of multi-variate fractionally integrated processes (Q4979113): Difference between revisions

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+Nonstationarity-extended local Whittle estimation
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+Normal rank
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+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
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+Long memory processes and fractional integration in econometrics
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+Consistent estimation of the memory parameter for nonlinear time series
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+Type I and type II fractional Brownian motions: a reconsideration
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+Fractional differencing
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+An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
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+ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
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+A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
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+A semiparametric two-step estimator in a multivariate long memory model
+Normal rank
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+Alternative forms of fractional Brownian motion
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+Normal rank
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+Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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+Local Whittle estimation in nonstationary and unit root cases.
+Normal rank
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+Rates of convergence and optimal spectral bandwidth for long range dependence
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+Gaussian semiparametric estimation of long range dependence
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+Log-periodogram regression of time series with long range dependence
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+Multiple local Whittle estimation in stationary systems
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+Gaussian semiparametric estimation of multivariate fractionally integrated processes
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+Exact local Whittle estimation of fractional integration
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+Gaussian Semiparametric Estimation of Non-stationary Time Series
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+Non-stationary log-periodogram regression
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+Normal rank