The FEXP estimator for potentially non-stationary linear time series.

DOI10.1016/S0304-4149(01)00136-3zbMath1057.62074OpenAlexW2012886047MaRDI QIDQ1766049

Philippe Soulier, Clifford M. Hurvich, Eric Moulines

Publication date: 25 February 2005

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00136-3

zbMATH Keywords

semiparametric estimationlong memoryperiodogramtaperingBartlett decompositionminimax rate optimalityfractional exponential models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Asymptotics for duration-driven long range dependent processes, Estimators of long-memory: Fourier versus wavelets, Semiparametric estimation of fractional cointegrating subspaces, Estimation of the location and exponent of the spectral singularity of a long memory process, The averaged periodogram estimator for a power law in coherency, Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors, Normality testing for a long-memory sequence using the empirical moment generating function, On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter, Estimating the Mean Direction of Strongly Dependent Circular Time Series, Estimating fractional cointegration in the presence of polynomial trends, Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes, Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process, A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series, Efficient tapered local Whittle estimation of multivariate fractional processes, On Semiparametric Testing of I(d) by FEXP Models, The Periodogram of fractional processes¹, Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series, Broadband semi-parametric estimation of long-memory time series by fractional exponential models, BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Non-stationary log-periodogram regression
• Estimating fractional cointegration in the presence of polynomial trends
• Broadband log-periodogram regression of time series with long-range dependence
• The periodogram of an i.i.d. sequence.
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Adaptive semiparametric estimation of the memory parameter.
• An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• On a Problem of Adaptive Estimation in Gaussian White Noise
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION