Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
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Cites work
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- Averaged periodogram estimation of long memory
- Efficient parameter estimation for self-similar processes
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
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- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Time Series Regression with a Unit Root
Cited in
(24)- A comparison of techniques of estimation in long-memory processes.
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
- Infinite variance stable Gegenbauer ARFISMA models
- On a class of estimation and test for long memory
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Behaviour of skewness, kurtosis and normality tests in long memory data
- The k-factor GARMA process with infinite variance innovations
- Wavelets and estimation of long memory in nonstationary models: does anything beat the exact local Whittle estimator?
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Alternative estimators of long-range dependence
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Evaluating the efficiency of fractional integration parameter estimators
- Estimation of long-memory time series models: a survey of different likelihood-based methods
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
- On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
- Estimating seasonal long-memory processes: a Monte Carlo study
- Comparative evaluation of semiparametric long-memory estimators
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- A Bayesian approach to estimating the long memory parameter
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
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