Pages that link to "Item:Q145474"
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The following pages link to Gaussian semiparametric estimation of multivariate fractionally integrated processes (Q145474):
Displaying 27 items.
- multiwave (Q29091) (← links)
- Multivariate Wavelet Whittle Estimation in Long-range Dependence (Q145476) (← links)
- Diagnostic testing for cointegration (Q291113) (← links)
- Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Exact local Whittle estimation of fractionally cointegrated systems (Q528005) (← links)
- Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding (Q548876) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Multiple local Whittle estimation in stationary systems (Q955151) (← links)
- Mixed-correlated ARFIMA processes for power-law cross-correlations (Q1673362) (← links)
- A multivariate test against spurious long memory (Q1706443) (← links)
- Generating univariate fractional integration within a large VAR(1) (Q1745615) (← links)
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (Q1795571) (← links)
- Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
- A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
- Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators (Q2105083) (← links)
- Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Efficient tapered local Whittle estimation of multivariate fractional processes (Q2242857) (← links)
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity (Q2301060) (← links)
- Two-step wavelet-based estimation for Gaussian mixed fractional processes (Q2316337) (← links)
- Long memory and long run variation (Q2628841) (← links)
- The averaged periodogram estimator for a power law in coherency (Q2930895) (← links)
- DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES (Q2937710) (← links)
- Fully modified narrow‐band least squares estimation of weak fractional cointegration (Q3018490) (← links)
- Local Whittle estimation of multi-variate fractionally integrated processes (Q4979113) (← links)
- Local Whittle estimation of high-dimensional long-run variance and precision matrices (Q6183868) (← links)