Log-periodogram estimation of the memory parameter of a long-memory process under trend.

DOI10.1016/S0167-7152(02)00358-9zbMath1038.62085MaRDI QIDQ1424467

Philipp Sibbertsen

Publication date: 14 March 2004

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

zbMATH Keywords

Long memoryTrendsLog-periodogram regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (2)

The increment ratio statistic ⋮ Long memory versus structural breaks: an overview

Cites Work

• Non-stationary log-periodogram regression
• Long memory versus structural breaks: an overview
• The Hurst effect under trends
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Discrimination between monotonic trends and long-range dependence
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM

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