Memory parameter estimation for long range dependent random fields

DOI10.1016/J.SPL.2009.07.030zbMATH Open1176.62095OpenAlexW1968970046MaRDI QIDQ1036745FDOQ1036745

Lihong Wang

Publication date: 13 November 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.030

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields; image analysis (62M40) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Title not available (Why is that?)
• Long‐Memory Time Series
• Semiparametric analysis of long-memory time series
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Semiparametric estimation of spatial long-range dependence
• Title not available (Why is that?)
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Non-central limit theorems for non-linear functional of Gaussian fields
• Title not available (Why is that?)
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• How can we Define the Concept of Long Memory? An Econometric Survey
• Local Whittle estimator for anisotropic random fields
• Non-Gaussian scenarios for the heat equation with singular initial conditions
• Parameter estimation of random fields with long-range dependence
• Long memory random fields

Cited In (14)

• Long memory random fields
• Title not available (Why is that?)
• Parameter estimates for fractional autoregressive spatial processes
• Title not available (Why is that?)
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Long memory conditional random fields on regular lattices
• Wavelet estimation of the memory parameter for long range dependent random fields
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• Aggregation of isotropic autoregressive fields
• Adaptive semiparametric estimation of the memory parameter.
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Parameter estimation of random fields with long-range dependence
• The correlation memory matrix for parameter estimation
• Log-periodogram regression of two-dimensional intrinsically stationary random fields

Uses Software

• longmemo

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