State space modeling of long-memory processes

DOI10.1214/AOS/1028144856zbMATH Open0929.62091OpenAlexW1983818306MaRDI QIDQ1807089FDOQ1807089

Ngai Hang Chan, Wilfredo Palma

Publication date: 9 November 1999

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

Full work available at URL: https://doi.org/10.1214/aos/1028144856

Recommendations

• When long memory meets the Kalman filter: a comparative study
• State space estimation for long memory AFRIMA-GARCH models
• A note on filtering for long memory processes
• State space modeling of Gegenbauer processes with long memory
• Estimation of long-memory time series models: a survey of different likelihood-based methods

zbMATH Keywords

asymptotic normalityconsistencymaximum likelihoodefficiencylong-memoryMLEARFIMAtruncated state space

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods.
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Title not available (Why is that?)
• Fractional differencing
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Gaussian semiparametric estimation of long range dependence
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The asymptotic theory of linear time-series models
• Title not available (Why is that?)
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Title not available (Why is that?)

Cited In (46)

• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Estimation of seasonal fractionally integrated processes
• A note on filtering for long memory processes
• Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
• Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Approximate state space modelling of unobserved fractional components
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
• Realized stochastic volatility with leverage and long memory
• When long memory meets the Kalman filter: a comparative study
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Estimation methods for stationary Gegenbauer processes
• Fractionally differenced Gegenbauer processes with long memory: a review
• State space modeling of Gegenbauer processes with long memory
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• 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
• Long memory conditional random fields on regular lattices
• Bayesian methods for change-point detection in long-range dependent processes
• Title not available (Why is that?)
• Assessing influence in Gaussian long-memory models
• Long memory stochastic volatility : A bayesian approach
• Fast approximate likelihood evaluation for stable VARFIMA processes
• Long memory affine term structure models
• Bayesian estimation of common long-range dependent models
• Analysis of the correlation structure of square time series
• LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
• Estimation and forecasting of long memory stochastic volatility models
• Spatio-temporal analysis with short- and long-memory dependence: a state-space approach
• A regularised estimator for long-range dependent processes
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Multistep ahead forecasting of vector time series
• Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Fitting non-Gaussian persistent data
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
• The ARMA alphabet soup: a tour of ARMA model variants
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Minimum distance estimation of ARFIMA processes
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• Level-crossing probabilities and first-passage times for linear processes
• Bayesian estimation of fractional difference parameter in ARFIMA models and its application

Uses Software

• longmemo

This page was built for publication: State space modeling of long-memory processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1807089)