ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
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Cites work
- scientific article; zbMATH DE number 3550006 (Why is no real title available?)
- scientific article; zbMATH DE number 912024 (Why is no real title available?)
- Intrinsic Random Functions and the Paradox of $1/{\text{f}}$ Noise
- Log-periodogram regression of time series with long range dependence
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
Cited in
(56)- Estimating the fractionally integrated process in the presence of measurement errors
- Non-stationary log-periodogram regression
- No-cointegration test based on fractional differencing: Some Monte Carlo results
- Generalized inverse extrapolation of stochastic processes by an aggregate of continuous discrete observations with memory
- Nonlinear log-periodogram regression for perturbed fractional processes
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Estimating fractional cointegration in the presence of polynomial trends
- Log-periodogram estimation of the memory parameter of a long-memory process under trend.
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Estimating the differencing parameter via the partial autocorrelation function
- On the invertibility of seasonally adjusted series
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- The FEXP estimator for potentially non-stationary linear time series.
- Narrow-band analysis of nonstationary processes
- Long memory processes and fractional integration in econometrics
- Adaptive semiparametric estimation of the memory parameter.
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Fractional discrete-time diffusion equation with uncertainty: applications of fuzzy discrete fractional calculus
- Testing for boundary conditions in case of fractionally integrated processes
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Invariance of the first difference in ARFIMA models
- Estimators of long-memory: Fourier versus wavelets
- The distance between rival nonstationary fractional processes
- Bootstrapping regression models with locally stationary disturbances
- Residual log-periodogram inference for long-run relationships
- An efficient taper for potentially overdifferenced long-memory time series
- Local Whittle estimation of fractional integration and some of its variants
- Unit root log periodogram regression
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- Indirect inference for fractional time series models
- The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
- On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- \(M\)-periodogram for the analysis of long-range-dependent time series
- Fractional Deterministic Factor Analysis of Economic Processes with Memory and Nonlocality
- A comparison of estimation methods in non-stationary ARFIMA processes
- GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
- Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
- Estimation of slowly time-varying trend function in long memory regression models
- Local Whittle estimation of multi-variate fractionally integrated processes
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Estimation of long memory in integrated variance
- Long memory and data frequency in financial markets
- Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference
- Modelling for the wavelet coefficients of ARFIMA processes
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
- Estimating seasonal long-memory processes: a Monte Carlo study
- Log-periodogram regression in asymmetric long memory.
- Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
- Likelihood Inference for Possibly Nonstationary Processes via Adaptive Overdifferencing
- Local polynomial Whittle estimation of perturbed fractional processes
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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