Estimation methods for stationary Gegenbauer processes (Q2110339)

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English	Estimation methods for stationary Gegenbauer processes	scientific article

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scholarly article

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Estimation methods for stationary Gegenbauer processes (English)

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10.1007/s00362-022-01290-3

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M. Shelton Peiris

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Neville C. Weber

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Statistical Papers

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publication date

21 December 2022

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

Gegenbauer

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GARMA

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Whittle

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Bayesian

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semi-parametric

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SILSO

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00362-022-01290-3

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On large-sample estimation for the mean of a stationary random sequence

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Estimation of cyclic long‐memory parameters

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Semiparametric Inference in Seasonal and Cyclical Long Memory Processes

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Asymptotic normality of simultaneous estimators of cyclic long-memory processes

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Fitting long-memory models by generalized linear regression

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Long-Memory Processes

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A note on calculating autocovariances of long‐memory processes

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The geometric foundations of Hamiltonian Monte Carlo

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An exponential model for the spectrum of a scalar time series

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Modeling and pricing long memory in stock market volatility

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Generalised long-memory GARCH models for intra-daily volatility

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Long memory with stochastic variance model: a recursive analysis for US inflation

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Time series: theory and methods.

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State space modeling of long-memory processes

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Estimating a generalized long memory process

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A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

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ADVANCEMENT OF FRACTIONALLY DIFFERENCED GEGENBAUER PROCESSES WITH LONG MEMORY

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State space modeling of Gegenbauer processes with long memory

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Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to Ravishanker, N. and B. K. Ray (1997) <i>Australian Journal of Statistics</i> 39 (3), 295–311

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Bayesian Inference for ARFIMA Models

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Gegenbauer random fields

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On a class of minimum contrast estimators for Gegenbauer random fields

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Inference from iterative simulation using multiple sequences

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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A generalized fractionally differencing approach in long-memory modeling

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Whittle estimator for finite-variance non-Gaussian time series with long memory

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Gaussian estimation of parametric spectral density with unknown pole

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ON GENERALIZED FRACTIONAL PROCESSES

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ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION

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The asymptotic theory of linear time-series models

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Semiparametric estimation for stationary processes whose spectra have an unknown pole

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Estimation of the location and exponent of the spectral singularity of a long memory process

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The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo

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A Bayesian approach to estimating the long memory parameter

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The ARMA alphabet soup: a tour of ARMA model variants

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Fractional differencing

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Semiparametric estimation for seasonal long-memory time series using generalized exponential models

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A general frequency domain estimation method for Gegenbauer processes

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Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes

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Minimum distance estimation of \(k\)-factors GARMA processes

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Long-Range Dependent Curve Time Series

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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Bayesian semiparametric inference on long-range dependence

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Estimation of Time-Varying Long Memory Parameter Using Wavelet Method

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On the Statistical Treatment of Linear Stochastic Difference Equations

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Computation of the autocovariances for time series with multiple long-range persistencies

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Minimum-bandwidth discrete-time wavelets

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Broadband log-periodogram regression of time series with long-range dependence

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Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models

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A frequency domain empirical likelihood for short- and long-range dependence

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Bayesian analysis of autoregressive fractionally integrated moving-average processes

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Long‐Memory Time Series

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Efficient Estimation of Seasonal Long‐Range‐Dependent Processes

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Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications

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Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis

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BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

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Rates of convergence and optimal spectral bandwidth for long range dependence

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Gaussian semiparametric estimation of long range dependence

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Log-periodogram regression of time series with long range dependence

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Rank-normalization, folding, and localization: an improved \(\widehat{R}\) for assessing convergence of MCMC (with Discussion)

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A k-Factor GARMA Long-memory Model

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Mathematics(1 entry)

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