scientific article
From MaRDI portal
Publication:3827437
zbMath0673.62073MaRDI QIDQ3827437
No author found.
Publication date: 1987
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (68)
An improvement of the GPH estimator. ⋮ What are the Most Important Statistical Ideas of the Past 50 Years? ⋮ Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models ⋮ Residual log-periodogram inference for long-run relationships ⋮ Local Whittle estimation of fractional integration and some of its variants ⋮ Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting ⋮ Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Hazard-selfsimilarity of diffusions’ first passage times ⋮ Local Whittle estimation in nonstationary and unit root cases. ⋮ Semiparametric estimation of the long-range parameter ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ Asymptotics for duration-driven long range dependent processes ⋮ Nonstationarity-extended local Whittle estimation ⋮ Diagnostic testing for cointegration ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ Semiparametric estimation of fractional cointegrating subspaces ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Properties of a block bootstrap under long-range dependence ⋮ Confidence intervals with higher accuracy for short and long-memory linear processes ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Detecting long-range dependence with truncated ratios of periodogram ordinates ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ Nonparametric frequency domain analysis of nonstationary multivariate time series ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Power-law cross-correlations estimation under heavy tails ⋮ The effect of round-off error on long memory processes ⋮ Nonstationary fractionally integrated functional 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 ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach ⋮ Edgeworth expansions for semiparametric Whittle estimation of long memory. ⋮ Adaptive semiparametric estimation of the memory parameter. ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series ⋮ Estimation of the memory parameter of the infinite-source Poisson process ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Multiple local Whittle estimation in stationary systems ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Gaussian semiparametric estimation of multivariate fractionally integrated processes ⋮ Semiparametric fractional cointegration analysis ⋮ Efficiency in estimation of memory ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ A simple test on structural change in long-memory time series ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Estimation of long-range dependence in gappy Gaussian time series ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ Estimation of fractional integration in the presence of data noise ⋮ Multivariate modelling of long memory processes with common components ⋮ On the asymptotic expansion of the empirical process of long-memory moving averages ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ Change-in-mean tests in long-memory time series: a review of recent developments ⋮ Narrow-band analysis of nonstationary processes ⋮ SEMIFAR forecasts, with applications to foreign exchange rates. ⋮ Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models ⋮ Local Whittle estimation of long‐range dependence for functional time series ⋮ Variance-type estimation of long memory ⋮ Exact local Whittle estimation of fractional integration ⋮ The change-of-variance function for dependent data ⋮ Higher-order kernel semiparametric M-estimation of long memory
This page was built for publication:
