Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
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Cites work
- scientific article; zbMATH DE number 4050780 (Why is no real title available?)
- scientific article; zbMATH DE number 1517502 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Approximations for densities of sufficient estimators
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Efficient parameter estimation for self-similar processes
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Higher order asymptotic theory for time series analysis
- Identification and Inference for Econometric Models
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory processes and fractional integration in econometrics
- On Multivariate Edgeworth Expansions
- On the validity of the formal Edgeworth expansion
- SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
- THE SIZE DISTORTION OF BOOTSTRAP TESTS
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- The bootstrap and Edgeworth expansion
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
- Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
- Whittle estimator for finite-variance non-Gaussian time series with long memory
Cited in
(14)- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- A bootstrap approximation for the distribution of the local Whittle estimator
- Bootstrap testing for discontinuities under long-range dependence
- Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Properties of a block bootstrap under long-range dependence
- Higher-order improvements of the parametric bootstrap for Markov processes
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Expansions for approximate maximum likelihood estimators of the fractional difference parameter
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
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