LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES

DOI10.1017/S0266466607070387zbMath1274.62566MaRDI QIDQ2886971

Wei-Biao Wu, Xiao-Feng Shao

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (18)

Inference for change points in high-dimensional data via selfnormalization ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Adaptive Inference for Change Points in High-Dimensional Data ⋮ The effect of round-off error on long memory processes ⋮ On asymptotic distributions of weighted sums of periodograms ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Strong invariance principles for dependent random variables ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Memory properties of transformations of linear processes ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ LLN for quadratic forms of long memory time series and its applications in random matrix theory ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

Cites Work

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