BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP (Q5349006): Difference between revisions

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scientific article; zbMATH DE number 6763390

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English	BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP	scientific article; zbMATH DE number 6763390

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instance of

scholarly article

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title

BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP (English)

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22 August 2017

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full work available at URL

https://arxiv.org/abs/1603.01897

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MaRDI profile type

MaRDI publication profile

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cites work

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

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Q4865042

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Q4845377

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Q5663204

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Time series: theory and methods.

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Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order

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Efficient parameter estimation for self-similar processes

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Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

0 references

Q2778406

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The Fitting of Time-Series Models

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Moment bounds for non-linear functionals of the periodogram

0 references

Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes.

0 references

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

0 references

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

0 references

Edgeworth expansions for semiparametric Whittle estimation of long memory.

0 references

RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Fractional differencing

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Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

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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

0 references

Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.

0 references

Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.

0 references

Explicit representation of finite predictor coefficients and its applications

0 references

On the range of validity of the autoregressive sieve bootstrap

0 references

THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

0 references

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

0 references

VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE

0 references

Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

0 references

Broadband log-periodogram regression of time series with long-range dependence

0 references

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

0 references

The impact of bootstrap methods on time series analysis

0 references

Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases

0 references

Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

0 references

Higher-order improvements of the sieve bootstrap for fractionally integrated processes

0 references

Q4682143

0 references

Gaussian semiparametric estimation of long range dependence

0 references

Log-periodogram regression of time series with long range dependence

0 references

Asymptotically efficient selection of the order of the model for estimating parameters of a linear process

0 references

Exact local Whittle estimation of fractional integration

0 references

THE NONSTATIONARY FRACTIONAL UNIT ROOT

0 references

Asymptotic Statistics

0 references

Identifiers

zbMATH Open document ID

1441.62843

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DOI

10.1017/S0266466616000050

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5349006

@@ Property / cites work @@
+Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
+Normal rank
@@ Property / cites work @@
+A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
+Normal rank
@@ Property / cites work @@
+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4845377
@@ Property / cites work: Q4845377 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5663204
@@ Property / cites work: Q5663204 / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
+Normal rank
@@ Property / cites work @@
+Q2778406
@@ Property / cites work: Q2778406 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fitting of Time-Series Models
@@ Property / cites work: The Fitting of Time-Series Models / rank @@
+Normal rank
@@ Property / cites work @@
+Moment bounds for non-linear functionals of the periodogram
+Normal rank
@@ Property / cites work @@
+Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes.
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Edgeworth expansions for semiparametric Whittle estimation of long memory.
+Normal rank
@@ Property / cites work @@
+RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
+Normal rank
@@ Property / cites work @@
+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
+Normal rank
@@ Property / cites work @@
+Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
+Normal rank
@@ Property / cites work @@
+Explicit representation of finite predictor coefficients and its applications
+Normal rank
@@ Property / cites work @@
+On the range of validity of the autoregressive sieve bootstrap
+Normal rank
@@ Property / cites work @@
+THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
+Normal rank
@@ Property / cites work @@
+VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION  FUNCTION UNDER LONG RANGE DEPENDENCE
+Normal rank
@@ Property / cites work @@
+Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
+Normal rank
@@ Property / cites work @@
+Broadband log-periodogram regression of time series with long-range dependence
+Normal rank
@@ Property / cites work @@
+Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
+Normal rank
@@ Property / cites work @@
+The impact of bootstrap methods on time series analysis
+Normal rank
@@ Property / cites work @@
+Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
+Normal rank
@@ Property / cites work @@
+Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
+Normal rank
@@ Property / cites work @@
+Higher-order improvements of the sieve bootstrap for fractionally integrated processes
+Normal rank
@@ Property / cites work @@
+Q4682143
@@ Property / cites work: Q4682143 / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
+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 @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank