Local Whittle estimation of the memory parameter in presence of deterministic components
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Recommendations
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Exact local Whittle estimation in long memory time series with multiple poles
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- On parameter estimation for locally stationary long-memory processes
- Memory parameter estimation for long range dependent random fields
- Multiple local Whittle estimation in stationary systems
- ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
- Whittle-type estimation under long memory and nonstationarity
Cites work
- Consistent estimation of the memory parameter for nonlinear time series
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- Gaussian semiparametric estimation of long range dependence
- Large-sample inference for nonparametric regression with dependent errors
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Long memory and regime switching
- Narrow-band analysis of nonstationary processes
- Nonstationarity-extended local Whittle estimation
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
- Testing for long memory in the presence of a general trend
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
- Tests for Hurst effect
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Hurst effect under trends
Cited in
(20)- Testing for a change in mean under fractional integration
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Asymptotic theory for time series with changing mean and variance
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Estimation methods for the LRD parameter under a change in the mean
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Consistent estimation of the memory parameter for nonlinear time series
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Autoregressive spectral estimates under ignored changes in the mean
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
- Exact local Whittle estimation in long memory time series with multiple poles
- Parameter Estimation Robust to Low-Frequency Contamination
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
- Nonparametric detection of a time-varying mean
- Can Markov switching model generate long memory?
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