Inference of bivariate long-memory aggregate time series

DOI10.5705/SS.202016.0112MaRDI QIDQ4602131zbMATH OpenOpenAlexFDO

Authors Henghsiu Tsai, Heiko Rachinger, Kung-Sik Chan

Publication date 26 January 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202016.0112

zbMATH Keywords

asymptotic normalityaggregationWhittle likelihoodfractional Gaussian noisespectral maximum likelihood estimator

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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(4)

• Temporal Aggregation and Bandwidth selection in estimating long memory
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Inference of seasonal long-memory aggregate time series
• Two-step wavelet-based estimation for Gaussian mixed fractional processes

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