Local Whittle estimation of multi-variate fractionally integrated processes

DOI10.1111/J.1467-9892.2010.00702.XMaRDI QIDQ4979113zbMATH OpenOpenAlexFDO

Authors Frank S. Nielsen

Publication date 16 June 2014

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

Full work available at URL https://pure.au.dk/ws/files/17453890/rp09_38.pdf

zbMATH Keywords

exchange ratesfractional integrationlocal Whittlelong memorymulti-variate semi-parametric estimation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Local Whittle estimation of fractional integration and some of its variants
• Nonstationarity-extended local Whittle estimation
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Exact local Whittle estimation of fractional integration
• Gaussian semiparametric estimation of multivariate fractionally integrated processes

Cites work

• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• A semiparametric two-step estimator in a multivariate long memory model
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Alternative forms of fractional Brownian motion
• An efficient taper for potentially overdifferenced long-memory time series
• Consistent estimation of the memory parameter for nonlinear time series
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Exact local Whittle estimation of fractional integration
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Long memory processes and fractional integration in econometrics
• Multiple local Whittle estimation in stationary systems
• Non-stationary log-periodogram regression
• Nonstationarity-extended local Whittle estimation
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Type I and type II fractional Brownian motions: a reconsideration

Cited in

(14)

• Multivariate wavelet Whittle estimation in long-range dependence
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Local Whittle estimation in nonstationary and unit root cases.
• Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Local Whittle estimation of fractional integration for nonlinear processes
• Definitions and representations of multivariate long-range dependent time series
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
• Local Whittle estimation of high-dimensional long-run variance and precision matrices

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