Local Whittle estimation in time-varying long memory series
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Cites work
- A bootstrap approximation for the distribution of the local Whittle estimator
- A generalized ARFIMA model with smooth transition fractional integration parameter
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- A regime switching long memory model for electricity prices
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Alternative forms of fractional Brownian motion
- An efficient estimator for locally stationary Gaussian long-memory processes
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- Estimating Long Memory in Volatility
- Fitting time series models to nonstationary processes
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- Gaussian semiparametric estimation of multivariate fractionally integrated processes
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- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- Inflation Persistence
- Locally stationary long memory estimation
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- Long‐Memory Time Series
- Non-stationary log-periodogram regression
- On parameter estimation for locally stationary long-memory processes
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- On the Kullback-Leibler information divergence of locally stationary processes
- On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
- Piecewise FARIMA models for long-memory time series
- Robust automatic bandwidth for long memory
- Semiparametric inference in seasonal and cyclical long memory processes
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- Time varying long memory parameter estimation for locally stationary long memory processes
- Time-varying cointegration
- Type I and type II fractional Brownian motions: a reconsideration
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