Efficient parameter estimation for self-similar processes
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(only showing first 100 items - show all)- Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
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- Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Fractional integration, trend stationarity and difference stationarity
- Monotone spectral density estimation
- Impact of the periodicity and trend on the FD parameter estimation
- Broadband semi-parametric estimation of long-memory time series by fractional exponential models
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- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
- Long memory and data frequency in financial markets
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Multiple local Whittle estimation in stationary systems
- On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Regression model fitting with long memory errors
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
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- Testing for boundary conditions in case of fractionally integrated processes
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- Maximum likelihood estimators of a long-memory process from discrete observations
- Local asymptotic normality for regression models with long-memory disturbance
- On multivariate fractional random fields: tempering and operator-stable laws
- Rates of convergence and optimal spectral bandwidth for long range dependence
- A limit theory for long-range dependence and statistical inference on related models
- Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
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- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Local asymptotic normality for long-memory process with strong mixing noises
- A minimal contrast estimator for the linear fractional stable motion
- The S-estimator in the change-point random model with long memory
- Fractional integration and data frequency
- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- Bayesian analysis of long memory and persistence using ARFIMA models
- On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
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- On the efficiency of estimators of a spectral density multivariate parameter
- Moment bounds and central limit theorem for functions of Gaussian vectors
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- Estimating seasonal long-memory processes: a Monte Carlo study
- Statistical estimation for stationary models with tapered data
- Estimating the Hurst effect and its application in monitoring clinical trials
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- Statistical inference for stationary linear models with tapered data
- Modelling long-term dependence in measurement errors of plutonium concentration
- Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra
- Estimation of mis-specified long memory models
- Semiparametric estimation of the long-range parameter
- Parameter estimation for Lévy-driven continuous-time linear models with tapered data
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- Parameter identification for singular random fields arising in Burgers' turbulence
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- Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations
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- On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
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- scientific article; zbMATH DE number 193709 (Why is no real title available?)
- Estimation of the fractionally differencing parameter with the R/S method
- Time series regression with long-range dependence
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- Infant mortality rates: time trends and fractional integration
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Gaussian inference on certain long-range dependent volatility models
- Issues in the estimation of mis-specified models of fractionally integrated processes
- An algorithm for estimating parameters of a group of closely spaced random processes: Synthesis, analysis, and modeling
- Indirect inference for fractional time series models
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors
- A multivariate long-memory model with structural breaks
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Linear and segmented trends in sea surface temperature data
- A comparison of Hurst exponent estimators in long-range dependent curve time series
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