A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
From MaRDI portal
Abstract: In this paper we propose and study a general class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter in the context of long-range dependent multivariate time series. We establish large sample properties of the estimator without assuming Gaussianity. The class of models considered here satisfies simple conditions on the spectral density function, restricted to a small neighborhood of the zero frequency and includes important class of VARFIMA processes. We also present a simulation study to assess the finite sample properties of the proposed estimator based on a smoothed version of the GSE which supports its competitiveness.
Recommendations
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- Gaussian semiparametric estimation of long range dependence
- Log-periodogram regression of time series with long range dependence
- A semiparametric two-step estimator in a multivariate long memory model
Cites work
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
- A semiparametric two-step estimator in a multivariate long memory model
- A wavelet-Fisz approach to spectrum estimation
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Exact local Whittle estimation of fractional integration
- Gaussian semiparametric estimation of long range dependence
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- scientific article; zbMATH DE number 1881986 (Why is no real title available?)
- Invariance of the first difference in ARFIMA models
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Local Whittle estimation of multi-variate fractionally integrated processes
- Log-periodogram regression of time series with long range dependence
- Maximum likelihood estimation of stationary multivariate ARFIMA processes
- SPECTRAL ANALYSIS WITH TAPERED DATA
Cited in
(6)- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- A semiparametric two-step estimator in a multivariate long memory model
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Generalized \(p\) value for multivariate Gaussian stochastic processes in continuous time
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments
This page was built for publication: A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5220830)
