Locally stationary long memory estimation

DOI10.1016/J.SPA.2010.12.004zbMath1220.62111arXiv0907.5151OpenAlexW2056724145MaRDI QIDQ544490

Rainer von Sachs, François Roueff

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.5151

zbMATH Keywords

waveletslong memorylocally stationary processsemi-parametric estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (13)

On a class of estimation and test for long memory ⋮ Time varying long memory parameter estimation for locally stationary long memory processes ⋮ Modelling time-varying first and second-order structure of time series via wavelets and differencing ⋮ Discriminating between long-range dependence and non-stationarity ⋮ A new time-varying model for forecasting long-memory series ⋮ Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Simultaneous quantile inference for non-stationary long-memory time series ⋮ Detecting long-range dependence for time-varying linear models ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ Local linear estimation for regression models with locally stationary long memory errors ⋮ Estimation of long-range dependence in gappy Gaussian time series

Uses Software

• longmemo

Cites Work

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