On parameter estimation for locally stationary long-memory processes

DOI10.1016/J.JSPI.2008.05.047zbMath1156.62055OpenAlexW2127150275MaRDI QIDQ1007468

Jan Beran

Publication date: 20 March 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.05.047

zbMATH Keywords

long memorybandwidth selectionlocal stationarityfractional ARIMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (16)

A frequency domain test for detecting nonstationary time series ⋮ Time varying long memory parameter estimation for locally stationary long memory processes ⋮ Discriminating between long-range dependence and non-stationarity ⋮ A note on using the empirical moment generating function to estimate the variance of nonparametric trend estimates from independent time series replicates ⋮ A new time-varying model for forecasting long-memory series ⋮ An efficient estimator for locally stationary Gaussian long-memory processes ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ On estimating the marginal distribution of a detrended series with long memory ⋮ Simultaneous quantile inference for non-stationary long-memory time series ⋮ Local linear estimation for regression models with locally stationary long memory errors ⋮ Fractal time series -- A tutorial review ⋮ Locally stationary long memory estimation ⋮ On rapid change points under long memory ⋮ On the sample mean of locally stationary long-memory processes ⋮ Estimation of slowly time-varying trend function in long memory regression models

Uses Software

• longmemo

Cites Work

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