Robust Automatic Bandwidth for Long Memory

DOI10.1111/1467-9892.00225zbMath0978.62079OpenAlexW1981564624MaRDI QIDQ2740037

Marc Henry

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00225

zbMATH Keywords

long memoryoptimal bandwidthconditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Monte Carlo methods (65C05)

Related Items (17)

LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ Modified information criteria and selection of long memory time series models ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Long memory or structural changes: an empirical examination on inflation rates ⋮ Temporal Aggregation and Bandwidth selection in estimating long memory ⋮ Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models ⋮ On the estimation of short memory components in long memory time series models ⋮ Why Aggregate Long Memory Time Series? ⋮ Testing for bubbles and change-points ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ A piecewise polynomial trend against long range dependence ⋮ LONG MEMORY TESTING IN THE TIME DOMAIN ⋮ Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study ⋮ Semiparametric Detection of Changes in Long Range Dependence

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