Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence

From MaRDI portal
Publication:1208963

DOI10.1016/0304-4149(93)90067-EzbMath0771.60021OpenAlexW2073865193MaRDI QIDQ1208963

Roger Gay, Christopher C. Heyde

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90067-e




Related Items (44)

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise modelsOn a class of minimum contrast estimators for fractional stochastic processes and fieldsStatistical inference using higher-order informationAutomatic estimation of spatial spectra via smoothing splinesEconometric estimation in long-range dependent volatility models: theory and practiceParameter estimation of random fields with long-range dependenceOn the efficiency of estimators of a spectral density multivariate parameterA limit theory for long-range dependence and statistical inference on related modelsStatistical inference for stationary linear models with tapered dataModelling long-range-dependent Gaussian processes with application in continuous-time financial modelsQuasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependenceMinimum contrast estimation of random processes based on information of second and third ordersThe quasi-likelihood approach to statistical inference on multiple time-series with long-range dependenceAutomatic spectral density estimation for random fields on a lattice via bootstrapOn the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression modelFast approximate likelihood evaluation for stable VARFIMA processesGaussian inference on certain long-range dependent volatility modelsExploring long-memory process in the prediction of interval-valued financial time series and its applicationAsymptotic spectral theory for spatial dataOn a class of minimum contrast estimators for Gegenbauer random fieldsInference with the Whittle Likelihood: A Tractable Approach Using Estimating FunctionsA general frequency domain method for assessing spatial covariance structuresLong-range dependent time series specificationA simple test for the equality of integration ordersON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAMOn the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression modelsMaximum likelihood estimation in vector long memory processes via EM algorithmOn the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motionStatistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.Modified Whittle estimation of multilateral models on a latticeOn the Whittle estimators for some classes of continuous-parameter random processes and fieldsPATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCEParameter estimation for Lévy-driven continuous-time linear models with tapered dataSaddlepoint approximations for short and long memory time series: a frequency domain approachOn a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fieldsA multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processesUnnamed ItemLimit theorems for Toeplitz-type quadratic functionals of stationary processes and applicationsOn least squares estimation for long-memory lattice processesSpectral methods in spatial statisticsFast Bayesian estimation for VARFIMA processes with stable errorsNonlinear time series with long memory: A model for stochastic volatilityParameter identification for singular random fields arising in Burgers' turbulenceThe stochastic growth equation: the growth of funds



Cites Work


This page was built for publication: Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence