A limit theory for long-range dependence and statistical inference on related models

DOI10.1214/aos/1034276623zbMath0873.62096OpenAlexW2065766543MaRDI QIDQ1355171

Publication date: 19 May 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1034276623

zbMATH Keywords

singularities conditional moments martingale differences central limit theorems mixing conditions quasi-likelihood estimate long-range dependent processes spectral density matrices bracketing function approach convergence of the covariances of quadratic forms multiple Fejér kernel quasi-likelihood ratio serial covariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (54)

A parametric bootstrap test for cycles ⋮ Bootstrap specification tests for linear covariance stationary processes ⋮ Semiparametric estimation of the long-range parameter ⋮ Modified information criteria and selection of long memory time series models ⋮ TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ Estimating parameters of a \(k\)-factor GIGARCH process ⋮ Asymptotic normality of simultaneous estimators of cyclic long-memory processes ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Inference on transformed stationary time series ⋮ Whittle estimation of EGARCH and other exponential volatility models ⋮ A frequency domain empirical likelihood for short- and long-range dependence ⋮ Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Gaussian Semi‐parametric Estimation of Fractional Cointegration ⋮ Estimation of the location and exponent of the spectral singularity of a long memory process ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ Empirical likelihood in long-memory time series models ⋮ カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Gaussian inference on certain long-range dependent volatility models ⋮ Modelling cycles in climate series: the fractional sinusoidal waveform process ⋮ On the estimation of short memory components in long memory time series models ⋮ A simple test for the equality of integration orders ⋮ Root-\(n\)-consistent estimation of weak fractional cointegration ⋮ Likelihood inference for discriminating between long‐memory and change‐point models ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Multiple local Whittle estimation in stationary systems ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ A semiparametric two-step estimator in a multivariate long memory model ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ On testing for separable correlations of multivariate time series ⋮ Bayesian estimation and the application of long memory stochastic volatility models ⋮ Estimation of traffic matrices in the presence of long memory traffic ⋮ Long memory in intertrade durations, counts and realized volatility of NYSE stocks ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models ⋮ Fractional Invariance Principle ⋮ 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 ⋮ Statistical estimation for CAPM with long-memory dependence ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends ⋮ Modelling long-run trends and cycles in financial time series data ⋮ Inference on one-way effect and evidence in Japanese macroeconomic data ⋮ Gaussian estimation of parametric spectral density with unknown pole ⋮ Fitting non-Gaussian persistent data ⋮ Semiparametric estimation for stationary processes whose spectra have an unknown pole ⋮ Inference for impulse response coefficients from multivariate fractionally integrated processes ⋮ Spectral analysis of multifractional LRD functional time series ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors ⋮ Distribution free goodness-of-fit tests for linear processes

Cites Work

This page was built for publication: A limit theory for long-range dependence and statistical inference on related models