Log-periodogram regression in asymmetric long memory.

MaRDI QIDQ5389657zbMATH OpenFDO

Authors Josu Arteche

Publication date 23 April 2012

Full work available at URL https://eudml.org/doc/33493, http://www.kybernetika.cz/content/2000/4/415

zbMATH Keywords

asymptotic propertiestime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Recommendations

• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Pooled Log Periodogram Regression
• Filtered log-periodogram regression of long memory processes
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Log-periodogram regression of time series with long range dependence

Cites work

• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Efficient Tests of Nonstationary Hypotheses
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
• scientific article; zbMATH DE number 1881986 (Why is no real title available?)
• scientific article; zbMATH DE number 2206036 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Log-periodogram regression of time series with long range dependence
• Non-stationary log-periodogram regression
• ON GENERALIZED FRACTIONAL PROCESSES
• Rates of convergence and optimal spectral bandwidth for long range dependence
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(10)

• On the effect of seasonal adjustment on the log-periodogram regression
• Log-periodogram regression of time series with long range dependence
• Residual log-periodogram inference for long-run relationships
• Unit root log periodogram regression
• Pooled Log Periodogram Regression
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Estimation of the frequency in cyclical long-memory series
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• Cyclical long memory: decoupling, modulation, and modeling
• Filtered log-periodogram regression of long memory processes

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