longmemo

swMATH11216CRANlongmemoMaRDI QIDQ23163FDOQ23163

Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality

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Last update: 6 February 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1-2

Official website: http://cran.r-project.org/web/packages/longmemo/index.html

Source code repository: https://github.com/cran/longmemo

Cited In (only showing first 100 items - show all)

• Refined Inference on Long Memory in Realized Volatility
• Behaviour of skewness, kurtosis and normality tests in long memory data
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Multivariate generalized linear-statistics of short range dependent data
• EWMA control charts for detecting changes in the mean of a long-memory process
• Sign tests for long-memory time series
• The Volatility of Realized Volatility
• A test for additive outliers applicable to long-memory time series
• Estimation of seasonal fractionally integrated processes
• Estimating the Hurst parameter in financial time series via heuristic approaches
• Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors
• On two sample inference for eigenspaces in functional data analysis with dependent errors
• Nonparametric estimation under long memory dependence
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
• Estimating the Hurst effect and its application in monitoring clinical trials
• On processes with hyperbolically decaying autocorrelations
• Invariance principles for linear processes with application to isotonic regression
• Wavelet Fisher's information measure of \(1/f^\alpha\) signals
• Wavelet \(q\)-Fisher information for scaling signal analysis
• Filtered log-periodogram regression of long memory processes
• Variance estimation for fractional Brownian motions with fixed Hurst parameters
• The detection and estimation of long memory in stochastic volatility
• Consistency of the regression estimator with functional data under long memory conditions
• Identification of a nonparametric signal under strongly dependent random noise
• Permutation entropy of fractional Brownian motion and fractional Gaussian noise
• Asymptotics for statistical functionals of long-memory sequences
• Statistical delay analysis on an ATM switch with self-similar input traffic
• Bayesian inference on the memory parameter for gamma-modulated regression models
• A complete asymptotic series for the autocovariance function of a long memory process
• Econometric estimation in long-range dependent volatility models: theory and practice
• Periodogram estimates in nonlinear regression models with long-range dependent noise
• Testing joint hypotheses when one of the alternatives is one-sided
• Discrete time parametric models with long memory and infinite variance
• Why is equity order flow so persistent?
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• The integrated periodogram for long-memory processes with finite or infinite variance
• Fractional order estimation schemes for fractional and integer order systems with constant and variable fractional order colored noise
• Approximation of the Rosenblatt sheet
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Central limit theorem for linear processes with infinite variance
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Synthesis of multifractional Gaussian noises based on variable-order fractional operators
• A class of negatively fractal dimensional Gaussian random functions
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
• Martingale approximations for sums of stationary processes.
• Fractional motions
• Martingale transforms and Girsanov theorem for long-memory Gaussian processes
• Estimation of the regression operator from functional fixed-design with correlated errors
• Forecasting time series with sieve bootstrap
• A frequency domain empirical likelihood for short- and long-range dependence
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Long memory versus structural breaks: an overview
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• Variations and estimators for self-similarity parameters via Malliavin calculus
• AR and MA representation of partial autocorrelation functions, with applications
• Explicit representation of finite predictor coefficients and its applications
• Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies
• On estimation of mean and covariance functions in repeated time series with long-memory errors
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• How efficiency shapes market impact
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Computer-intensive rate estimation, diverging statistics and scanning
• Variations and Hurst index estimation for a Rosenblatt process using longer filters
• Quantum systems for Monte Carlo methods and applications to fractional stochastic processes
• Data driven smooth test of comparison for dependent sequences
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Estimating stochastic volatility: the rough side to equity returns
• Separable solutions for Markov processes in random environments
• On estimating the cumulant generating function of linear processes
• Wavelet deconvolution in a periodic setting with long-range dependent errors
• Power spectrum of generalized fractional Gaussian noise
• Accumulative prediction error and the selection of time series models
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Long memory and self-similar processes
• A fractional stochastic evolution equation driven by fractional Brownian motion
• There's more to volatility than volume
• Multichannel deconvolution with long range dependence: upper bounds on the \(L^p\)-risk \((1 \leq p < \infty)\)
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps
• On estimating the marginal distribution of a detrended series with long memory
• Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
• Perpetual learning and apparent long memory
• Multivariate long-memory cohort mortality models
• Local linear estimation for regression models with locally stationary long memory errors
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• On nonparametric density estimation for multivariate linear long-memory processes
• LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
• Rates of convergence in the central limit theorem for linear statistics of martingale differences
• Estimating seasonal long-memory processes: a Monte Carlo study
• Nonlinear time series: computations and applications
• On the sample mean of locally stationary long-memory processes
• Asymptotic properties of nonparametric regression for long memory random fields
• Bootstrap assisted specification tests for the ARFIMA model
• Modeling autocorrelation functions of long-range dependent teletraffic series based on optimal approximation in Hilbert space -- a further study

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