The averaged periodogram estimator for a power law in coherency

DOI10.1111/J.1467-9892.2011.00770.XzbMath1300.62091OpenAlexW1943972071MaRDI QIDQ2930895

Clifford M. Hurvich, Rebecca J. Sela

Publication date: 20 November 2014

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

Full work available at URL: http://archive.nyu.edu/handle/2451/31260

zbMATH Keywords

long memorytaperingcross spectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (13)

A note on power-law cross-correlated processes ⋮ Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? ⋮ Record length requirement of long-range dependent teletraffic ⋮ Power-Law Cross-Correlations: Issues, Solutions and Future Challenges ⋮ Chaos based nonlinear analysis to study cardiovascular responses to changes in posture ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Multivariate Hadamard self-similarity: testing fractal connectivity ⋮ Testing power-law cross-correlations: rescaled covariance test ⋮ Weighted multifractal cross-correlation analysis based on Shannon entropy ⋮ Power-law cross-correlations estimation under heavy tails ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes

Uses Software

• R

Cites Work

• Unnamed Item
• A semiparametric two-step estimator in a multivariate long memory model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Multiple local Whittle estimation in stationary systems
• Non-stationary log-periodogram regression
• Semiparametric analysis of long-memory time series
• The FEXP estimator for potentially non-stationary linear time series.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Averaged periodogram estimation of long memory
• Semiparametric estimation of fractional cointegrating subspaces
• An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
• Computationally efficient methods for two multivariate fractionally integrated models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• Estimating Long Memory in Volatility

This page was built for publication: The averaged periodogram estimator for a power law in coherency