Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

DOI10.1214/aos/1176349936zbMath0606.62096OpenAlexW1986372184WikidataQ105584345 ScholiaQ105584345MaRDI QIDQ1084821

Murad S. Taqqu, Robert Fox

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349936

zbMATH Keywords

asymptotic normalitymaximum likelihoodasymptotic consistencylong range dependencefractional Gaussian noisefractional ARMAestimation of spectral parametersstrongly dependent stationary Gaussian time seriesWhittle's maximum likelihood approach

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A parametric bootstrap test for cycles ⋮ On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes ⋮ On the integral of the squared periodogram ⋮ Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models ⋮ Residual log-periodogram inference for long-run relationships ⋮ 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 ⋮ Estimation of mis-specified long memory models ⋮ Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models ⋮ Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Rates of convergence and optimal spectral bandwidth for long range dependence ⋮ Modified information criteria and selection of long memory time series models ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Testing a sub-hypothesis in linear regression models with long memory covariates and errors. ⋮ Correlation testing in time series, spatial and cross-sectional data ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series ⋮ Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice ⋮ Estimation of the fractionally differencing parameter with the R/S method ⋮ Time series regression with long-range dependence ⋮ A limit theory for long-range dependence and statistical inference on related models ⋮ Estimation of the memory parameter by fitting fractionally differenced autoregressive models ⋮ The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence ⋮ On bilinear forms in Gaussian random variables and Toeplitz matrices ⋮ Bayesian analysis of long memory and persistence using ARFIMA models ⋮ Testing for long memory in the Asian foreign exchange rates ⋮ State space modeling of Gegenbauer processes with long memory ⋮ Note on convergence rates of semiparametric estimators of dependence index ⋮ Minimum contrast estimation of random processes based on information of second and third orders ⋮ Moment bounds and mean squared prediction errors of long-memory time series ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Approximations and limit theory for quadratic forms of linear processes ⋮ The detection and estimation of long memory in stochastic volatility ⋮ The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables ⋮ A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter ⋮ A comparison of techniques of estimation in long-memory processes. ⋮ Estimating the Hurst parameter ⋮ On the effect of seasonal adjustment on the log-periodogram regression ⋮ Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation ⋮ On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model ⋮ Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process ⋮ On asymptotically optimal wavelet estimation of trend functions under long-range dependence ⋮ Gaussian inference on certain long-range dependent volatility models ⋮ Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ Mean square prediction error for long-memory processes ⋮ The effect of round-off error on long memory processes ⋮ A new model for explaining long-range correlations in human time interval production ⋮ Some convergence results on quadratic forms for random fields and application to empirical covariances ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Gaussian pseudo-maximum likelihood estimation of fractional time series models ⋮ Root-\(n\)-consistent estimation of weak fractional cointegration ⋮ Measuring the roughness of random paths by increment ratios ⋮ A review of empirical likelihood methods for time series ⋮ Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process ⋮ Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence ⋮ Edgeworth expansions for semiparametric Whittle estimation of long memory. ⋮ Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Fractional integration, trend stationarity and difference stationarity ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory ⋮ Multiple local Whittle estimation in stationary systems ⋮ Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence ⋮ A semiparametric two-step estimator in a multivariate long memory model ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ Local Whittle estimator for anisotropic random fields ⋮ On parameter estimation for locally stationary long-memory processes ⋮ A wavelet lifting approach to long-memory estimation ⋮ State space modeling of long-memory processes ⋮ Whittle estimator for finite-variance non-Gaussian time series with long memory ⋮ Indirect estimation of ARFIMA and VARFIMA models ⋮ Parameter estimation in low order fractionally differenced ARMA processes ⋮ 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 ⋮ An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Broadband log-periodogram regression of time series with long-range dependence ⋮ On asymptotic quasi-likelihood estimation ⋮ On least squares estimation for long-memory lattice processes ⋮ A likelihood approximation for locally stationary processes ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study. ⋮ Parameter identification for singular random fields arising in Burgers' turbulence ⋮ Convergence of normalized quadratic forms ⋮ Non-parametric estimation of the long-range dependence exponent for Gaussian processes ⋮ Central limit theorems for quadratic forms with time-domain conditions ⋮ Discrete time parametric models with long memory and infinite variance ⋮ The change-of-variance function for dependent data ⋮ Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression ⋮ Central limit theorems for quadratic forms in random variables having long-range dependence ⋮ SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity ⋮ A bootstrap causality test for covariance stationary processes ⋮ Parameter estimates for fractional autoregressive spatial processes ⋮ A new estimator of the self-similarity exponent through the empirical likelihood ratio test ⋮ Estimating seasonal long-memory processes: a Monte Carlo study ⋮ DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES ⋮ Fractional integration and data frequency ⋮ Modelling long-range-dependent Gaussian processes with application in continuous-time financial models ⋮ Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence ⋮ Detecting long-range dependence with truncated ratios of periodogram ordinates ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM ⋮ Multi-scale properties of random walk models of animal movement: lessons from statistical inference ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics ⋮ Forecasting highly persistent time series with bounded spectrum processes ⋮ Long memory and data frequency in financial markets ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Humbert generalized fractional differenced ARMA processes ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ Robust estimation for continuous-time linear models with memory ⋮ Identification of fractional differencing autoregressive models^† ⋮ SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS ⋮ Fitting a fractional ARIMA model to time series data ⋮ α-stable laws for noncoding regions in DNA sequences ⋮ A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe ⋮ One-step estimation for the fractional Gaussian noise at high-frequency ⋮ LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES ⋮ ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES ⋮ Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum ⋮ Adaptive wavelet decompositions of stationary time series ⋮ MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS ⋮ Maximum-likelihood estimators in the mixed fractional Brownian motion ⋮ Indirect inference for fractional time series models ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter ⋮ A Wavelet‐Based Bayesian Approach to Regression Models with Long Memory Errors and Its Application to fMRI Data ⋮ Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Calculating and analyzing impulse responses for the vector ARFIMA model. ⋮ A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION ⋮ A comparison of estimation methods in non-stationary ARFIMA processes ⋮ Change-point detection in long-memory processes ⋮ Small Sample Properties of Frequency Domain Estimators for the Fractional Model ⋮ ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS ⋮ On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion ⋮ Semiparametric fractional cointegration analysis ⋮ Estimation of traffic matrices in the presence of long memory traffic ⋮ Moment bounds and central limit theorem for functions of Gaussian vectors ⋮ Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes ⋮ Estimation of slowly time-varying trend function in long memory regression models ⋮ ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS ⋮ Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors ⋮ Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study ⋮ On the robustness of cointegration tests when series are fractionally intergrated ⋮ Unnamed Item ⋮ THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR ⋮ On the asymptotic properties of a feasible estimator of the continuous time long memory parameter ⋮ On the robustness of cointegration tests when series are fractionally intergrated ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ Local Whittle estimation of long‐range dependence for functional time series ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates ⋮ Time Domain Estimation of Long Range Dependence ⋮ Unnamed Item ⋮ Semiparametric estimation of the long-range parameter ⋮ On a class of minimum contrast estimators for fractional stochastic processes and fields ⋮ Statistical inference using higher-order information ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ A frequency domain empirical likelihood for short- and long-range dependence ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models ⋮ On the efficiency of estimators of a spectral density multivariate parameter ⋮ A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate ⋮ On a class of estimation and test for long memory ⋮ Statistical inference for stationary linear models with tapered data ⋮ Testing for structural change in a long-memory environment ⋮ A generalized fractionally differencing approach in long-memory modeling ⋮ On rate-optimal nonparametric wavelet regression with long memory moving average errors ⋮ A minimum distance estimator for long-memory processes ⋮ NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE ⋮ Semiparametric exploration of long memory in stock prices ⋮ Modelling long-term dependence in measurement errors of plutonium concentration ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Comparing two nonparametric regression curves in the presence of long memory in covariates and errors ⋮ Long memory processes and fractional integration in econometrics ⋮ Long memory continuous time models ⋮ The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence ⋮ Averaged periodogram estimation of long memory ⋮ Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Fast computation and practical use of amplitudes at non-Fourier frequencies ⋮ Issues in the estimation of mis-specified models of fractionally integrated processes ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations ⋮ Forecasting long memory time series when occasional breaks occur ⋮ Normality testing for a long-memory sequence using the empirical moment generating function ⋮ Spatial long memory ⋮ A regularised estimator for long-range dependent processes ⋮ DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION ⋮ Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter ⋮ ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE ⋮ On the estimation of short memory components in long memory time series models ⋮ Estimation of long memory in volatility using wavelets ⋮ Replicated INAR(1) processes ⋮ Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions ⋮ Exact confidence intervals for the Hurst parameter of a fractional Brownian motion ⋮ Prediction intervals for farima processes by bootstrap methods ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ Testing for boundary conditions in case of fractionally integrated processes ⋮ Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information ⋮ Estimation of the dependence parameter in linear regression with long-range-dependent errors ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ Distinguishing short and long memory volatility specifications ⋮ Preliminary estimation of ARFIMA models ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate ⋮ An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets ⋮ Invariance of the first difference in ARFIMA models ⋮ On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES ⋮ On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ Large scale reduction principle and application to hypothesis testing ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Statistical properties of detrended fluctuation analysis ⋮ Parametric estimation for ARFIMA models via spectral methods ⋮ Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques ⋮ On the Whittle estimators for some classes of continuous-parameter random processes and fields ⋮ Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion ⋮ Nonstationarity-extended Whittle estimation with discontinuity: a correction ⋮ VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES ⋮ On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ A multivariate long-memory model with structural breaks ⋮ First-order bias correction for fractionally integrated time series ⋮ Pseudo-maximum likelihood estimators in linear regression models with fractional time series ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Adjusted empirical likelihood for long-memory time-series models ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Estimation pitfalls when the noise is not i.i.d. ⋮ Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends ⋮ The empirical process for bivariate sequences with long memory ⋮ Narrow-band analysis of nonstationary processes ⋮ Gaussian estimation of parametric spectral density with unknown pole ⋮ Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models ⋮ Impact of the periodicity and trend on the FD parameter estimation ⋮ Estimation in long memory time series models ⋮ Efficiency improvements in inference on stationary and nonstationary fractional time series ⋮ Semiparametric estimation for stationary processes whose spectra have an unknown pole ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap. ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes ⋮ Statistical estimation for stationary models with tapered data