Note on convergence rates of semiparametric estimators of dependence index

DOI10.1214/AOS/1031594739MaRDI QIDQ1372856zbMATH OpenOpenAlexFDO

Authors Hira L. Koul, Turlach, Berwin A., Peter Hall

Publication date 4 November 1997

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

Full work available at URL https://doi.org/10.1214/aos/1031594739

zbMATH Keywords

semiparametric estimationautocovarianceGaussian processlong-range dependencestationary processshort-range dependencelong-memory time seriesHurst constant

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Efficient parameter estimation for self-similar processes
• Gaussian semiparametric estimation of long range dependence
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Log-periodogram regression of time series with long range dependence
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• On estimation of a regression model with long-memory stationary errors
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Semiparametric analysis of long-memory time series
• Semiparametric estimation from time series with long-range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(8)

• Variance-type estimation of long memory
• Wilcoxon-Signed Rank Test for Long Memory Sequences
• Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
• On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
• Semi-parametric estimation of long-range dependence index in infinite variance time series.
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Self-similarity index estimation via wavelets for locally self-similar processes
• Semiparametric analysis of long-range dependence in nonlinear regression

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