Linear Trend with Fractionally Integrated Errors

DOI10.1111/1467-9892.00099MaRDI QIDQ4216175zbMATH OpenOpenAlexFDO

Authors Rohit Deo, Clifford Hurvich

Publication date 21 October 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00099

zbMATH Keywords

additive long-memory noisedifferencingtapering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(20)

• Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
• A simple test of changes in mean in the possible presence of long-range dependence
• Change-in-mean problem for long memory time series models with applications
• Estimating fractional cointegration in the presence of polynomial trends
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Trend stationarity versus long-range dependence in time series analysis
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Monitoring mean and variance change-points in long-memory time series
• Convergence analysis of superoptimal PCG algorithm for Toeplitz systems with a Fisher-Hartwig singularity
• Semiparametric analysis of long-range dependence in nonlinear regression
• Estimation methods for the LRD parameter under a change in the mean
• Fractional cointegration in the presence of linear trends
• Tests for Trend: A Simulation Study
• ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Change-Point Estimation in Long Memory Nonparametric Models with Applications
• Polynomial Trend Regression With Long‐memory Errors
• Gradual changes in long memory processes with applications
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• An I(d) model with trend and cycles

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