Log-periodogram regression of time series with long range dependence

DOI10.1214/AOS/1176324636zbMATH Open0838.62085OpenAlexW2063827883MaRDI QIDQ1906201FDOQ1906201

Authors: Peter M. Robinson 

Publication date: 8 February 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324636

Recommendations

• Broadband log-periodogram regression of time series with long-range dependence
• Filtered log-periodogram regression of long memory processes
• Residual log-periodogram inference for long-run relationships
• Time series regression with long-range dependence
• Log-periodogram regression in asymmetric long memory.
• Non-stationary log-periodogram regression

zbMATH Keywords

asymptotic normalityleast squareslong range dependencespectral density matrixgeneralized least squaresmultiple time series modelsdifferencing parameterslog-periodogram regression estimate

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (only showing first 100 items - show all)

• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• A bootstrap causality test for covariance stationary processes
• The distance between rival nonstationary fractional processes
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Residual log-periodogram inference for long-run relationships
• Bootstrap specification tests for linear covariance stationary processes
• Asymptotics for duration-driven long range dependent processes
• Estimation of fractional integration in the presence of data noise
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Weak convergence of multivariate fractional processes
• Estimation of fractional integration under temporal aggregation
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Local Whittle estimation of fractional integration and some of its variants
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Nonlinear log-periodogram regression for perturbed fractional processes
• Semiparametric fractional cointegration analysis
• Variance-type estimation of long memory
• Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
• Estimation of mis-specified long memory models
• Aggregation and memory of models of changing volatility
• Averaged periodogram estimation of long memory
• Estimation methods for stationary Gegenbauer processes
• Filtered log-periodogram regression of long memory processes
• A review of empirical likelihood methods for time series
• Multivariate Stochastic Volatility: A Review
• The detection and estimation of long memory in stochastic volatility
• Non-stationary log-periodogram regression
• Gaussian inference on certain long-range dependent volatility models
• An alternative bootstrap to moving blocks for time series regression models
• The memory of stochastic volatility models
• Semiparametric estimation of spatial long-range dependence
• The estimation of misspecified long memory models
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Exact local Whittle estimation of fractional integration
• Estimators of long-memory: Fourier versus wavelets
• Determination of cointegrating rank in fractional systems.
• Broadband log-periodogram regression of time series with long-range dependence
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Long memory continuous time models
• Change-point detection with rank statistics in long-memory time-series models
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
• The averaged periodogram estimator for a power law in coherency
• Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
• Log-periodogram regression in asymmetric long memory.
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Long memory versus structural breaks: an overview
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• A semiparametric two-step estimator in a multivariate long memory model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Multivariate wavelet Whittle estimation in long-range dependence
• The FEXP estimator for potentially non-stationary linear time series.
• Change-in-mean problem for long memory time series models with applications
• Nonlinearity and temporal dependence
• Robust estimation in long-memory processes under additive outliers
• On asymptotic distributions of weighted sums of periodograms
• Contemporaneous aggregation of linear dynamic models in large economies
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Regression with slowly varying regressors and nonlinear trends
• Local Whittle estimation of multi-variate fractionally integrated processes
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
• Distribution free goodness-of-fit tests for linear processes
• Modelling structural breaks, long memory and stock market volatility: an overview
• Testing for structural change in regression with long memory processes
• Unit root log periodogram regression
• Nonstationarity-extended local Whittle estimation
• Out of sample forecasts of quadratic variation
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Tail index estimation in the presence of long-memory dynamics
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Semiparametric inference in multivariate fractionally cointegrated systems
• Long memory and regime switching
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Refined Inference on Long Memory in Realized Volatility
• Multiple local Whittle estimation in stationary systems
• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• Tests of bias in log-periodogram regression
• MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• Fractional integration and the volatility of UK interest rates
• Moment bounds and central limit theorem for functions of Gaussian vectors
• Local Whittle estimator for anisotropic random fields
• Estimating seasonal long-memory processes: a Monte Carlo study
• Bootstrap assisted specification tests for the ARFIMA model
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• Specification testing for regression models with dependent data
• Breaks and persistency: macroeconomic causes of stock market volatility
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors
• Why Aggregate Long Memory Time Series?
• Time varying long memory parameter estimation for locally stationary long memory processes
• Testing joint hypotheses when one of the alternatives is one-sided
• Two estimators of the long-run variance: beyond short memory

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