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

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)

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Cited in

(only showing first 100 items - show all)

• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
• Estimation of long-range dependence in gappy Gaussian time series
• A comparison of techniques of estimation in long-memory processes.
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Why Aggregate Long Memory Time Series?
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• The FEXP estimator for potentially non-stationary linear time series.
• On the effect of seasonal adjustment on the log-periodogram regression
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Fractional differencing in discrete time
• Specification testing for regression models with dependent data
• Breaks and persistency: macroeconomic causes of stock market volatility
• Time varying long memory parameter estimation for locally stationary long memory processes
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Moment bounds and central limit theorem for functions of Gaussian vectors
• An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
• Bootstrap testing for discontinuities under long-range dependence
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Semiparametric estimation in perturbed long memory series
• Residual empirical processes for long and short memory time series
• Testing joint hypotheses when one of the alternatives is one-sided
• Local Whittle estimator for anisotropic random fields
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• Semiparametric analysis of long-range dependence in nonlinear regression
• Local polynomial Whittle estimation of perturbed fractional processes
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• Properties of a block bootstrap under long-range dependence
• MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
• A simple test for the equality of integration orders
• Long-range dependence in the conditional variance of stock returns
• Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions
• Power-law behaviour, heterogeneity, and trend chasing
• Estimating seasonal long-memory processes: a Monte Carlo study
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
• Refined Inference on Long Memory in Realized Volatility
• Tests of long memory: a bootstrap approach
• Empirical Performance and Asset Pricing in Hidden Markov Models
• Multiple local Whittle estimation in stationary systems
• Adaptive semiparametric estimation of the memory parameter.
• Wavelet-based estimation of anisotropic spatiotemporal long-range dependence
• Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
• Semi-parametric regression estimation of the tail index
• Two estimators of the long-run variance: beyond short memory
• Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
• UNBALANCED COINTEGRATION
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Parameter Estimation of Self-Similar Spatial Covariogram Models
• Detecting long-range dependence with truncated ratios of periodogram ordinates
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Fractional integration and the volatility of UK interest rates
• Financial econometrics: Past developments and future challenges
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Higher-order kernel semiparametric M-estimation of long memory
• Statistical tests for a single change in mean against long-range dependence
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
• Locally stationary long memory estimation
• Bootstrapping the log-periodogram regression
• Kernel type smoothed quantile estimation under long memory
• Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors
• Memory parameter estimation for long range dependent random fields
• Estimating long-range dependence in the presence of periodicity: An empirical study
• Tests of bias in log-periodogram regression
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• Bootstrap assisted specification tests for the ARFIMA model
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Long memory versus structural breaks: an overview
• Definitions and representations of multivariate long-range dependent time series
• Asymptotics for duration-driven long range dependent 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
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• Exact local Whittle estimation of fractional integration
• 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
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Nonlinear log-periodogram regression for perturbed fractional processes
• The detection and estimation of long memory in stochastic volatility
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• The averaged periodogram estimator for a power law in coherency
• Estimators of long-memory: Fourier versus wavelets
• Long memory and regime switching
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Filtered log-periodogram regression of long memory processes
• Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
• Log-periodogram regression in asymmetric long memory.
• Determination of cointegrating rank in fractional systems.
• Weak convergence of multivariate fractional processes

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