Semiparametric estimation from time series with long-range dependence

DOI10.1016/0304-4076(94)90068-XzbMath0808.62081OpenAlexW2052742532MaRDI QIDQ1341199

Peter M. Robinson, Bing Cheng

Publication date: 16 March 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90068-x

zbMATH Keywords

long-range dependenceindex modelsnonnormal limiting distributionlong-memory time-series dependencesemiparametric averaged derivative statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (17)

Local linear regression estimation for time series with long-range dependence ⋮ SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE ⋮ Testing for structural change in a long-memory environment ⋮ Note on convergence rates of semiparametric estimators of dependence index ⋮ A martingale decomposition for quadratic forms of Markov chains (with applications) ⋮ Long-range dependent time series specification ⋮ Multichannel deconvolution with long-range dependence: a minimax study ⋮ Minimum normal approximation error bandwidth selection for averaged derivatives. ⋮ Residual empirical processes for long and short memory time series ⋮ Some results on random design regression with long memory errors and predictors ⋮ Change-Point Estimation in Long Memory Nonparametric Models with Applications ⋮ Wavelet change-point estimation for long memory non-parametric random design models ⋮ The smoothing dichotomy in nonparametric regression under long‐memory errors ⋮ Nonparametric estimation for dependent data ⋮ Wavelet regression in random design with heteroscedastic dependent errors ⋮ Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data ⋮ Testing for the expected number of exceedances in strongly dependent seasonal time series

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