Log-periodogram regression of time series with long range dependence

From MaRDI portal
Revision as of 14:09, 1 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1906201

DOI10.1214/AOS/1176324636zbMath0838.62085OpenAlexW2063827883MaRDI QIDQ1906201

Peter M. Robinson

Publication date: 8 February 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324636




Related Items (only showing first 100 items - show all)

Testing for Breaks in Regression Models with Dependent DataEstimating seasonal long-memory processes: a Monte Carlo studyWavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range DependenceFractional integration and data frequencyLOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNSTime varying long memory parameter estimation for locally stationary long memory processesDetecting long-range dependence with truncated ratios of periodogram ordinatesSemiparametric Inference in Correlated Long Memory Signal Plus Noise ModelsLong Memory Regressors and Predictive Testing: A Two-stage Rebalancing ApproachAUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIESBIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAPADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITYWavelet semi-parametric inference for long memory in volatility in the presence of a trendLong memory and data frequency in financial marketsESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSESExploring long-memory process in the prediction of interval-valued financial time series and its applicationHarmonically Weighted ProcessesEstimating the Mean Direction of Strongly Dependent Circular Time SeriesDetection of long range dependence in the time domain for (in)finite-variance time seriesAsymptotic efficiency in autoregressive processes driven by stationary Gaussian noiseComparison of non-parametric and semi-parametric tests in detecting long memoryNonparametric regression estimation at design poles and zerosRobust testing for stationarity of global surface temperatureConsumption, aggregate wealth and expected stock returns: a fractional cointegration approachASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODELLONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCESASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSESUnit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrumMEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNSStatistical challenges in microrheologyIndirect inference for fractional time series modelsFinite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional IntegrationOn the power of underdifferencing and overdifferencing tests against nearly nonstationary alternativesThe memory of stochastic volatility modelsTOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?On Semiparametric Testing of I(d) by FEXP ModelsFractional differencing in discrete timeA comparison of estimation methods in non-stationary ARFIMA processesOn optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motionLong memory and regime switchingSemiparametric fractional cointegration analysisMoment bounds and central limit theorem for functions of Gaussian vectorsA large sample test for the length of memory of stationary symmetric stable random fields via nonsingular ℤd-actionsEstimation Methods of the Long Memory Parameter: Monte Carlo Analysis and ApplicationAn Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break ProcessesEmpirical Performance and Asset Pricing in Hidden Markov ModelsA generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processesWAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETSA Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory ParameterOrder Selection and Inference with Long Memory Dependent DataEmpirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian ProcessBroadband semi-parametric estimation of long-memory time series by fractional exponential modelsLocal Whittle estimation of multi-variate fractionally integrated processesMEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDSTesting for the Equality of Two Nonparametric Regression Curves with Long Memory ErrorsCorrelated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated StudyUnnamed ItemUnnamed ItemMultivariate Stochastic Volatility: A ReviewTHE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATORLocal Whittle estimation of long‐range dependence for functional time seriesEstimating the memory parameter for potentially non-linear and non-Gaussian time series with waveletsThe distance between rival nonstationary fractional processesModelling structural breaks, long memory and stock market volatility: an overviewTesting for structural change in regression with long memory processesBootstrap long memory processes in the frequency domainGaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise modelsResidual log-periodogram inference for long-run relationshipsLocal Whittle estimation of fractional integration and some of its variantsAsymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecastingBootstrap specification tests for linear covariance stationary processesUnit root log periodogram regressionAsymptotic efficiency of the OLS estimator with singular limiting sample moment matricesLong-range dependence in the conditional variance of stock returnsEstimation of mis-specified long memory modelsAggregation and memory of models of changing volatilityRecord length requirement of long-range dependent teletrafficOptimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approachA frequency domain test for detecting nonstationary time seriesWhen long memory meets the Kalman filter: a comparative studyAsymptotics for duration-driven long range dependent processesNonstationarity-extended local Whittle estimationSpecification testing for regression models with dependent dataBreaks and persistency: macroeconomic causes of stock market volatilityAn empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time seriesOut of sample forecasts of quadratic variationTwo estimators of the long-run variance: beyond short memoryThe effect of tapering on the semiparametric estimators for nonstationary long memory processesAn asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time seriesState space modeling of Gegenbauer processes with long memoryProperties of a block bootstrap under long-range dependenceLong-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatilityLocal asymptotic powers of nonparametric and semiparametric tests for fractional integrationNote on convergence rates of semiparametric estimators of dependence indexInference on the long-memory properties of time series with non-stationary volatilityThe detection and estimation of long memory in stochastic volatilityA comparison of techniques of estimation in long-memory processes.On the effect of seasonal adjustment on the log-periodogram regressionFast approximate likelihood evaluation for stable VARFIMA processesGaussian inference on certain long-range dependent volatility models







This page was built for publication: Log-periodogram regression of time series with long range dependence