Higher-order kernel semiparametric M-estimation of long memory
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Cites work
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- A Nonparametric Test for I(0)
- A semiparametric two-step estimator in a multivariate long memory model
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
- Broadband log-periodogram regression of time series with long-range dependence
- Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 3147986 (Why is no real title available?)
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- scientific article; zbMATH DE number 88842 (Why is no real title available?)
- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- Log-periodogram regression of time series with long range dependence
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Non-stationary log-periodogram regression
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- ON GENERALIZED FRACTIONAL PROCESSES
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Periodic splines and spectral estimation
- Semiparametric analysis of long-memory time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- 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
(17)- Semiparametric estimation in perturbed long memory series
- Nonlinear log-periodogram regression for perturbed fractional processes
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- A semiparametric two-step estimator in a multivariate long memory model
- Nonparametric kernel density estimation near the boundary
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- The estimation of misspecified long memory models
- Estimators of long-memory: Fourier versus wavelets
- Nonstationarity-extended local Whittle estimation
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
- Temporal Aggregation and Bandwidth selection in estimating long memory
- Why Aggregate Long Memory Time Series?
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- Reduced-bias Whittle likelihood estimation for short- and long-memory processes
- Semiparametric inference in multivariate fractionally cointegrated systems
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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