Bootstrap approaches for estimation and confidence intervals of long memory processes
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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 comparison of techniques of estimation in long-memory processes.
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Bootstrap methods: another look at the jackknife
- Bootstrapping the log-periodogram regression
- Bootstrapping time series models
- Bootstraps for time series
- Characterization of the partial autocorrelation function
- Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
- Efficient parameter estimation for self-similar processes
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3070807 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Log-periodogram regression of time series with long range dependence
- Long‐Memory Time Series
- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- Sieve bootstrap for time series
- The asymptotic theory of linear time-series models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The impact of bootstrap methods on time series analysis
- The Local Bootstrap for Periodogram Statistics
- Theoretical comparison of bootstrap confidence intervals
- Time series: theory and methods.
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
Cited in
(7)- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Tests of long memory: a bootstrap approach
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Confidence intervals for the long memory parameter based on wavelets and resampling
- Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
- scientific article; zbMATH DE number 51142 (Why is no real title available?)
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
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