Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800): Difference between revisions

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+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
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+Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
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+Semiparametric estimation in perturbed long memory series
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+Q4845377
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+Efficient parameter estimation for self-similar processes
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+Long memory and regime switching
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+Local polynomial Whittle estimation of perturbed fractional processes
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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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+Fractional differencing
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+Estimating Long Memory in Volatility
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+Local Whittle estimation of the memory parameter in presence of deterministic components
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+Q3827437
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+Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
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+MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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+A Test Against Spurious Long Memory
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+A stochastic volatility model with random level shifts and its applications to S&amp;P 500 and NASDAQ return indices
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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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+Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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