Bootstrap-based bandwidth choice for log-periodogram regression

DOI10.1111/J.1467-9892.2009.00629.XMaRDI QIDQ3077665zbMATH OpenOpenAlexFDO

Authors Josu Arteche, Jesus Orbe

Publication date 22 February 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00629.x

zbMATH Keywords

bandwidth selectionlong memory time series

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
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• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

Cites work

• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Adaptive semiparametric estimation of the memory parameter.
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Bootstrapping the log-periodogram regression
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Gaussian semiparametric estimation of long range dependence
• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• Log-periodogram regression of time series with long range dependence
• Non-stationary log-periodogram regression
• Nonlinear log-periodogram regression for perturbed fractional processes
• On bootstrapping kernel spectral estimates
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Semiparametric estimation in perturbed long memory series
• Semiparametric inference in seasonal and cyclical long memory processes
• The Local Bootstrap for Periodogram Statistics
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Cited in

(15)

• On parameter estimation for locally stationary long-memory processes
• Broadband log-periodogram regression of time series with long-range dependence
• Note on bandwidth selection in testing for long range dependence.
• Bootstrapping the log-periodogram regression
• On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series
• Robust automatic bandwidth for long memory
• Bandwidth choice, optimal rates and adaptivity in semiparametric estimation of long memory
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• scientific article; zbMATH DE number 854953 (Why is no real title available?)
• Semiparametric inference in correlated long memory signal plus noise models
• Semiparametric inference and bandwidth choice under long memory: experimental evidence
• A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
• Nonparametric curve estimation and bootstrap bandwidth selection
• Assessing estimation uncertainty under model misspecification
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression

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