Parametric estimation under long-range dependence

MaRDI QIDQ4407606zbMATH OpenFDO

Authors L. Giraitis, Peter M. Robinson

Publication date 20 January 2004

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Semiparametric estimation from time series with long-range dependence
• Semiparametric analysis of long-range dependence in nonlinear regression
• Gaussian semiparametric estimation of long range dependence
• Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

Cited in

(8)

• Semiparametric estimation from time series with long-range dependence
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Semiparametric estimation of the long-range parameter
• Density estimation under long-range dependence
• Estimation of the dependence parameter in linear regression with long-range-dependent errors
• Estimation theory in partly linear regression models under long range dependence.
• Recent advances on the semi-parametric estimation of the long-range dependence coefficient
• Long memory conditional random fields on regular lattices

This page was built for publication: Parametric estimation under long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4407606)