Log-periodogram regression of time series with long range dependence

DOI10.1214/AOS/1176324636MaRDI QIDQ1906201zbMATH OpenOpenAlexFDO

Authors Peter M. Robinson

Publication date 8 February 1996

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176324636

zbMATH Keywords

asymptotic normalityleast squareslong range dependencespectral density matrixgeneralized least squaresmultiple time series modelsdifferencing parameterslog-periodogram regression estimate

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• Long memory and regime switching
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• Bootstrap long memory processes in the frequency domain
• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• Long memory and data frequency in financial markets
• Detecting long-range dependence with truncated ratios of periodogram ordinates
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Multiple local Whittle estimation in stationary systems
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Exploring long-memory process in the prediction of interval-valued financial time series and its application
• Nonparametric regression estimation at design poles and zeros
• Tests of bias in log-periodogram regression
• Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
• Refined Inference on Long Memory in Realized Volatility
• Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
• Adaptive long memory testing under heteroskedasticity
• A bootstrap causality test for covariance stationary processes
• The distance between rival nonstationary fractional processes
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Residual log-periodogram inference for long-run relationships
• Bootstrap specification tests for linear covariance stationary processes
• Maximum likelihood estimation in vector long memory processes via EM algorithm
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Asymptotics for duration-driven long range dependent processes
• MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
• Testing for boundary conditions in case of fractionally integrated processes
• The role of long memory in hedging effectiveness
• Local empirical spectral measure of multivariate processes with long range dependence.
• Estimation of fractional integration in the presence of data noise
• Root-\(n\)-consistent estimation of weak fractional cointegration
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• Weak convergence of multivariate fractional processes
• Fractional integration and the volatility of UK interest rates
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Local Whittle estimation of fractional integration and some of its variants
• Estimation of fractional integration under temporal aggregation
• The S-estimator in the change-point random model with long memory
• Fractional integration and data frequency
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Local Whittle estimator for anisotropic random fields
• Empirical likelihood for a long range dependent process subordinated to a Gaussian process
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Moment bounds and central limit theorem for functions of Gaussian vectors
• Bootstrap approaches for estimation and confidence intervals of long memory processes
• Nonlinear log-periodogram regression for perturbed fractional processes
• Estimating seasonal long-memory processes: a Monte Carlo study
• Moment bounds for non-linear functionals of the periodogram
• Nonstationarity-extended Whittle estimation
• Variance-type estimation of long memory
• Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
• Estimation of mis-specified long memory models
• Aggregation and memory of models of changing volatility
• Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
• Semiparametric estimation of the long-range parameter
• Estimating the mean direction of strongly dependent circular time series
• Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
• Bootstrap assisted specification tests for the ARFIMA model
• On rate-optimal nonparametric wavelet regression with long memory moving average errors
• Definitions and representations of multivariate long-range dependent time series
• Statistical properties of detrended fluctuation analysis
• Record length requirement of long-range dependent teletraffic
• When long memory meets the Kalman filter: a comparative study
• Semiparametric fractional cointegration analysis
• Averaged periodogram estimation of long memory
• Estimation methods for stationary Gegenbauer processes
• Filtered log-periodogram regression of long memory processes
• A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
• A review of empirical likelihood methods for time series
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• The detection and estimation of long memory in stochastic volatility
• State space modeling of Gegenbauer processes with long memory
• Multivariate Stochastic Volatility: A Review
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• Non-stationary log-periodogram regression
• Specification testing for regression models with dependent data
• Breaks and persistency: macroeconomic causes of stock market volatility
• On semiparametric testing of I(\(d\)) by FEXP models
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Gaussian inference on certain long-range dependent volatility models
• An alternative bootstrap to moving blocks for time series regression models
• Estimation of time-varying long memory parameter using wavelet method
• A piecewise polynomial trend against long range dependence
• Efficiency in estimation of memory
• A comparison of semiparametric tests for fractional cointegration
• Testing joint hypotheses when one of the alternatives is one-sided

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