The FEXP estimator for potentially non-stationary linear time series.

DOI10.1016/S0304-4149(01)00136-3zbMath1057.62074OpenAlexW2012886047MaRDI QIDQ1766049

Philippe Soulier, Clifford M. Hurvich, Eric Moulines

Publication date: 25 February 2005

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00136-3

zbMATH Keywords

semiparametric estimationlong memoryperiodogramtaperingBartlett decompositionminimax rate optimalityfractional exponential models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (19)

Asymptotics for duration-driven long range dependent processes ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ Semiparametric estimation of fractional cointegrating subspaces ⋮ Estimation of the location and exponent of the spectral singularity of a long memory process ⋮ The averaged periodogram estimator for a power law in coherency ⋮ Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors ⋮ Normality testing for a long-memory sequence using the empirical moment generating function ⋮ On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Estimating fractional cointegration in the presence of polynomial trends ⋮ Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ On Semiparametric Testing of I(d) by FEXP Models ⋮ The Periodogram of fractional processes¹ ⋮ Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

Cites Work

• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Non-stationary log-periodogram regression
• Estimating fractional cointegration in the presence of polynomial trends
• Broadband log-periodogram regression of time series with long-range dependence
• The periodogram of an i.i.d. sequence.
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Adaptive semiparametric estimation of the memory parameter.
• An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• On a Problem of Adaptive Estimation in Gaussian White Noise
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
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