AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

DOI10.1111/j.1467-9892.1994.tb00194.xzbMath0807.62076OpenAlexW2136954911MaRDI QIDQ4299036

Kaizô Iwakami Beltrão, Clifford M. Hurvich

Publication date: 21 July 1994

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00194.x

zbMATH Keywords

simulation studyspectral densitymemory parameterfrequency domain cross-validationlog periodogramlong-memory, stationary Gaussian time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (19)

Unit root log periodogram regression ⋮ An \(M\)-estimator for the long-memory parameter ⋮ Long memory processes and fractional integration in econometrics ⋮ On the effect of seasonal adjustment on the log-periodogram regression ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ The periodogram regression:correction and comments ⋮ Robust testing for stationarity of global surface temperature ⋮ Why Aggregate Long Memory Time Series? ⋮ Convex combinations of long memory estimates from different sampling rates ⋮ Indirect inference for fractional time series models ⋮ Multiple local Whittle estimation in stationary systems ⋮ Filtered log-periodogram regression of long memory processes ⋮ Long memory and regime switching ⋮ Long memory in intertrade durations, counts and realized volatility of NYSE stocks ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers ⋮ MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS ⋮ Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

Cites Work

• Log-periodogram regression of time series with long range dependence
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Discrimination between monotonic trends and long-range dependence

This page was built for publication: AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES