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Longmemo
Description
Datasets and Functionality from 'Jan Beran' (1994). Statistics for Long-Memory Processes; Chapman & Hall. Estimation of Hurst (and more) parameters for fractional Gaussian noise, 'fARIMA' and 'FEXP' models.
Cited in
(only showing first 100 items - show all)- Weighted averages and local polynomial estimation for fractional linear ARCH processes
- Local Whittle estimator for anisotropic random fields
- On parameter estimation for locally stationary long-memory processes
- A moderate deviation principle for \(m\)-dependent random variables with unbounded \(m\)
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- A test for fractional cointegration using the sieve bootstrap
- An example of a misclassification problem applied to Australian equity data
- Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes
- Visualization and inference based on wavelet coefficients, SiZer and SiNos
- Two approximation methods to synthesize the power spectrum of fractional Gaussian noise
- Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
- Detection of variations of local irregularity of traffic under DDOS flood attack
- Assessing influence in Gaussian long-memory models
- Memory parameter estimation for long range dependent random fields
- On least squares estimation for long-memory lattice processes
- On properties of the second order generalized autoregressive GAR(2) model with index
- Asymptotic properties of nonparametric regression for long memory random fields
- Estimation of the regression operator from functional fixed-design with correlated errors
- A comparison of techniques of estimation in long-memory processes.
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- On the large increments of fractional Brownian motion
- Long range dependence of point processes, with queueing examples
- Bilinear stochastic systems with fractional Brownian motion input
- EVIM
- SEMIFAR forecasts, with applications to foreign exchange rates.
- Self-affine time series: Measures of weak and strong persistence.
- An example of applying the asymptotic quasi-likelihood to dimension estimation for random spatial patterns
- A critical look at Lo's modified \(R/S\) statistic.
- Parameter identification for singular random fields arising in Burgers' turbulence
- Convergence of normalized quadratic forms
- Semiparametric regression under long-range dependent errors.
- LASS
- OxMetrics
- MFDFA
- LongMemoryTS
- The effect of long-range dependence on change-point estimators
- A simple test of changes in mean in the possible presence of long-range dependence
- Change-in-mean problem for long memory time series models with applications
- Bayesian analysis of long memory and persistence using ARFIMA models
- Abel-Tauber theorems for Fourier-Stieltjes coefficients
- The detection and estimation of long memory in stochastic volatility
- On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
- Limit theorems for functionals of moving averages
- The integrated periodogram for long-memory processes with finite or infinite variance
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
- Nonparametric M-estimation with long-memory errors
- Asymptotics of M-estimators in non-linear regression with long memory designs.
- On the rate of convergence to the normal law for LSE in multivariate continuous regression model with long-range dependence stationary errors.
- A correlation-based computational model for synthesizing long-range dependent data.
- Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields.
- Limits of on/off hierarchical product models for data transmission
- A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
- Nonparametric regression with correlated errors.
- Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
- Fractal dimensional analysis of Indian climatic dynamics
- SPADES
- Large data series: modeling the usual to identify the unusual.
- On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
- Energy price risk management
- Local asymptotic normality for regression models with long-memory disturbance
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Discrete time parametric models with long memory and infinite variance
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- A note on filtering for long memory processes
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- Bispectral analysis of traffic in high-speed networks
- Martingale transforms and Girsanov theorem for long-memory Gaussian processes
- Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
- Alternative way to characterize a \(q\)-Gaussian distribution by a robust heavy tail measurement
- Investigation of the cumulative diminution process using the Fibonacci method and fractional calculus
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Record length requirement of long-range dependent teletraffic
- A frequency domain test for detecting nonstationary time series
- When long memory meets the Kalman filter: a comparative study
- Why is equity order flow so persistent?
- An integrate-and-fire model to generate spike trains with long-range dependence
- Fractionally differenced Gegenbauer processes with long memory: a review
- TCPDUMP
- Invariance axioms and functional form restrictions in structural models
- Perpetual learning and apparent long memory
- State space modeling of Gegenbauer processes with long memory
- Horizon effect in the term structure of long-run risk-return trade-offs
- Investigation of cumulative growth process via Fibonacci method and fractional calculus
- Correlation properties of (discrete) fractional Gaussian noise and fractional Brownian motion
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Forecasting of time data with using fractional Brownian motion
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- A generalized ARFIMA model with smooth transition fractional integration parameter
- STABLE
- Simultaneous quantile inference for non-stationary long-memory time series
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- On von Kármán spectrum from a view of fractal
- Efficiently implementing the maximum likelihood estimator for Hurst exponent
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Large deviations of time-averaged statistics for Gaussian processes
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
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