Discrimination between monotonic trends and long-range dependence
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Recommendations
- Discriminating between long-range dependence and non-stationarity
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- Consistent detection of a monotonic trend superposed on a stationary time series
- Detecting long-range dependence in non-stationary time series
- Robust discrimination between long-range dependence and a change in mean
- A piecewise polynomial trend against long range dependence
- Identifying monotonic and non-monotonic relationships
Cited in
(64)- Multivariate modelling of long memory processes with common components
- Optimal spectral kernel for long-range dependent time series
- Fractal correlation in heterogeneous systems
- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- Continuous-time fractional ARMA processes
- An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
- Nonlinear log-periodogram regression for perturbed fractional processes
- Log-periodogram estimation of the memory parameter of a long-memory process under trend.
- Long memory and stochastic trend.
- A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
- A semiparametric two-step estimator in a multivariate long memory model
- Robust estimation in long-memory processes under additive outliers
- Broadband log-periodogram regression of time series with long-range dependence
- Long memory versus structural breaks: an overview
- Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
- Narrow-band analysis of nonstationary processes
- Semiparametric estimation of the long-range parameter
- Testing for structural change in a long-memory environment
- Long memory processes and fractional integration in econometrics
- Long memory continuous time models
- Adaptive semiparametric estimation of the memory parameter.
- A modified multifractal detrended fluctuation analysis (MFDFA) approach for multifractal analysis of precipitation
- Asymptotic theory for time series with changing mean and variance
- Estimation of long-range dependence in gappy Gaussian time series
- Long memory, fractional integration, and cross-sectional aggregation
- The increment ratio statistic
- On discriminating between long-range dependence and changes in mean
- Fast computation and practical use of amplitudes at non-Fourier frequencies
- Unit root log periodogram regression
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Asymptotics for duration-driven long range dependent processes
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
- Wavelet-domain test for long-range dependence in the presence of a trend
- Tests for Trend: A Simulation Study
- Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques
- Information in the Nonstationary Case
- An Omnibus Test for Time Series ModelI(d)
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- ACKNOWLEDGEMENT OF PRIORITY FOR "ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES"
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- The periodogram regression:correction and comments
- THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR
- Pooled Log Periodogram Regression
- LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
- ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Robust discrimination between long-range dependence and a change in mean
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- Autoregressive spectral estimates under ignored changes in the mean
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
- Long memory and data frequency in financial markets
- Stationarity test based on density approach
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Robust testing for stationarity of global surface temperature
- Piecewise FARIMA models for long-memory time series
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Long memory and regime switching
- The increment ratio statistic under deterministic trends
- Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series
- Filtered log-periodogram regression of long memory processes
- Nonparametric detection of a time-varying mean
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