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)

• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Compactly supported correlation functions
• Local asymptotic normality for regression models with long-memory disturbance
• Self-affine time series: Measures of weak and strong persistence.
• Limit theorems for functionals of moving averages
• Nonparametric regression with correlated errors.
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• Parametric inference in stationary time series models with dependent errors
• Robust clustering using exponential power mixtures
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• Long-memory processes. Probabilistic properties and statistical methods
• Variance estimation for fractional Brownian motions with fixed Hurst parameters
• Semiparametric estimation of spatial long-range dependence
• Change-point detection with rank statistics in long-memory time-series models
• EVIM
• STABLE
• Akaroa
• LS-SVMlab
• fracdiff
• fds
• ARFIMA
• Ox
• TSM
• astsa
• EFDR
• FinTS
• itsmr
• afmtools
• WaveD
• YUIMA
• sapa
• NNSYSID
• CAPUSHE
• LSD
• dvfBm
• fSeries
• SimTB
• Fractan
• Selfis
• SSE
• ITSM2000
• extraDistr
• Applied Econometrics with R
• ggeffects
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• Study of on-line measurement of traffic self-similarity
• ML
• Autograph
• K2
• mlrnd
• FastGP
• RHRV
• fractPC
• plfit
• Hamsa
• tscount
• highfrequency
• wmtsa
• RHIPE
• AS 155
• ltsa
• MSGARCH
• hawkes
• SimEstFBM
• Algorithm 725
• AS 106
• BLINC
• artfima
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• StFinMetrics
• ACDm
• memochange
• smoots
• LongMemoryTS
• 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
• The effect of long-range dependence on change-point estimators
• Algorithm 1008
• multitaper
• freqdom.fda
• gmwmx
• LASS: a tool for the local analysis of self-similarity
• Fractals with point impact in functional linear regression
• Testing and estimating for change in long memory parameter
• Discriminating between long-range dependence and non-stationarity
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Gradual changes in long memory processes with applications
• A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps
• Long memory and regime switching
• Change-of-variance problem for linear processes with long memory
• Moment-based tail index estimation
• 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

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