Log-periodogram regression of time series with long range dependence

DOI10.1214/aos/1176324636zbMath0838.62085OpenAlexW2063827883MaRDI QIDQ1906201

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 dependencegeneralized least squaresspectral density matrixmultiple time series modelsdifferencing parameterslog-periodogram regression estimate

Mathematics Subject Classification ID

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

Related Items

Testing for Breaks in Regression Models with Dependent Data, Estimating seasonal long-memory processes: a Monte Carlo study, Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence, Fractional integration and data frequency, LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS, Time varying long memory parameter estimation for locally stationary long memory processes, Detecting long-range dependence with truncated ratios of periodogram ordinates, Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models, Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach, AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES, BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Wavelet semi-parametric inference for long memory in volatility in the presence of a trend, Long memory and data frequency in financial markets, ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES, Exploring long-memory process in the prediction of interval-valued financial time series and its application, Harmonically Weighted Processes, Estimating the Mean Direction of Strongly Dependent Circular Time Series, Detection of long range dependence in the time domain for (in)finite-variance time series, Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise, Comparison of non-parametric and semi-parametric tests in detecting long memory, Nonparametric regression estimation at design poles and zeros, Robust testing for stationarity of global surface temperature, Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach, ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL, LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES, ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES, Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum, MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS, Statistical challenges in microrheology, Indirect inference for fractional time series models, Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration, On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives, The memory of stochastic volatility models, TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?, On Semiparametric Testing of I(d) by FEXP Models, Fractional differencing in discrete time, A comparison of estimation methods in non-stationary ARFIMA processes, On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion, Long memory and regime switching, Semiparametric fractional cointegration analysis, Moment bounds and central limit theorem for functions of Gaussian vectors, A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular ℤ^d-actions, Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application, An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes, Empirical Performance and Asset Pricing in Hidden Markov Models, A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes, WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS, A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter, Order Selection and Inference with Long Memory Dependent Data, Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process, Broadband semi-parametric estimation of long-memory time series by fractional exponential models, Local Whittle estimation of multi-variate fractionally integrated processes, MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS, Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors, Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study, Unnamed Item, Unnamed Item, Multivariate Stochastic Volatility: A Review, THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR, Local Whittle estimation of long‐range dependence for functional time series, Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets, The distance between rival nonstationary fractional processes, Modelling structural breaks, long memory and stock market volatility: an overview, Testing for structural change in regression with long memory processes, Bootstrap long memory processes in the frequency domain, Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models, Residual log-periodogram inference for long-run relationships, Local Whittle estimation of fractional integration and some of its variants, Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting, Bootstrap specification tests for linear covariance stationary processes, Unit root log periodogram regression, Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices, Long-range dependence in the conditional variance of stock returns, Estimation of mis-specified long memory models, Aggregation and memory of models of changing volatility, Record length requirement of long-range dependent teletraffic, Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach, A frequency domain test for detecting nonstationary time series, When long memory meets the Kalman filter: a comparative study, Asymptotics for duration-driven long range dependent processes, Nonstationarity-extended local Whittle estimation, Specification testing for regression models with dependent data, Breaks and persistency: macroeconomic causes of stock market volatility, An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series, Out of sample forecasts of quadratic variation, Two estimators of the long-run variance: beyond short memory, The effect of tapering on the semiparametric estimators for nonstationary long memory processes, An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series, State space modeling of Gegenbauer processes with long memory, Properties of a block bootstrap under long-range dependence, Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility, Local asymptotic powers of nonparametric and semiparametric tests for fractional integration, Note on convergence rates of semiparametric estimators of dependence index, Inference on the long-memory properties of time series with non-stationary volatility, The detection and estimation of long memory in stochastic volatility, A comparison of techniques of estimation in long-memory processes., On the effect of seasonal adjustment on the log-periodogram regression, Fast approximate likelihood evaluation for stable VARFIMA processes, Gaussian inference on certain long-range dependent volatility models, Nonlinear log-periodogram regression for perturbed fractional processes, Nonparametric frequency domain analysis of nonstationary multivariate time series, Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory, Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion, Long memory affine term structure models, A test of the long memory hypothesis based on self-similarity, Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics, Semi-parametric regression estimation of the tail index, Tail index estimation in the presence of long-memory dynamics, Weak convergence of multivariate fractional processes, An alternative bootstrap to moving blocks for time series regression models, Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors, Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process, Root-\(n\)-consistent estimation of weak fractional cointegration, Testing joint hypotheses when one of the alternatives is one-sided, Kernel type smoothed quantile estimation under long memory, Asymptotic behaviour of the LS estimator in a nonlinear model with long memory, A review of empirical likelihood methods for time series, A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence, Edgeworth expansions for semiparametric Whittle estimation of long memory., A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series, Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination, Residual empirical processes for long and short memory time series, Multiple local Whittle estimation in stationary systems, Using the bootstrap for finite sample confidence intervals of the log periodogram regression, Maximum likelihood estimation in vector long memory processes via EM algorithm, Fractional integration and the volatility of UK interest rates, Long memory versus structural breaks: an overview, Locally stationary long memory estimation, The FEXP estimator for potentially non-stationary linear time series., Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency., 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, Moment bounds for non-linear functionals of the periodogram, Filtered log-periodogram regression of long memory processes, Long memory in intertrade durations, counts and realized volatility of NYSE stocks, Efficiency in estimation of memory, Change-in-mean problem for long memory time series models with applications, Semiparametric inference in multivariate fractionally cointegrated systems, Estimation of fractional integration under temporal aggregation, Local polynomial Whittle estimation of perturbed fractional processes, Local Whittle estimator for anisotropic random fields, Robust estimation in long-memory processes under additive outliers, Semiparametric estimation in perturbed long memory series, Semiparametric estimation for seasonal long-memory time series using generalized exponential models, Estimation of fractional integration in the presence of data noise, The role of long memory in hedging effectiveness, Power-law behaviour, heterogeneity, and trend chasing, 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, Broadband log-periodogram regression of time series with long-range dependence, Memory parameter estimation for long range dependent random fields, Tests of bias in log-periodogram regression, Non-stationary log-periodogram regression, Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data, Non-parametric estimation of the long-range dependence exponent for Gaussian processes, Variance-type estimation of long memory, Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study, Semi-parametric smoothing estimators for long-memory processes with added noise, A bootstrap causality test for covariance stationary processes, Distribution free goodness-of-fit tests for linear processes, The Tests of Robinson in the Context of AR(1) Disturbances, REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS, A harmonically weighted filter for cyclical long memory processes, Semiparametric estimation of the long-range parameter, Long memory and long run variation, Estimators of long-memory: Fourier versus wavelets, Nonlinearity and temporal dependence, Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models, Estimation methods for the LRD parameter under a change in the mean, More on the volatility-trading volume relationship in emerging markets: The Chinese stock market, On rate-optimal nonparametric wavelet regression with long memory moving average errors, Asymptotics for spherical functional autoregressions, The averaged periodogram estimator for a power law in coherency, Statistical tests for a single change in mean against long-range dependence, Semiparametric exploration of long memory in stock prices, Comparing two nonparametric regression curves in the presence of long memory in covariates and errors, DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES, Long memory continuous time models, Averaged periodogram estimation of long memory, Fast computation and practical use of amplitudes at non-Fourier frequencies, Bootstrapping the log-periodogram regression, Estimating memory parameter in the US inflation rate, Parameter Estimation of Self-Similar Spatial Covariogram Models, On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity, Estimating long memory: scaling function vs. Andrews and Guggenberger GPH, Long-memory in high-frequency exchange rate volatility under temporal aggregation, Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise, Spatial long memory, Log-periodogram regression of two-dimensional intrinsically stationary random fields, Monotone spectral density estimation, Time-varying persistence of inflation: evidence from a wavelet-based approach, On asymptotic distributions of weighted sums of periodograms, Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes, Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation, Contemporaneous aggregation of linear dynamic models in large economies, Data-driven semi-parametric detection of multiple changes in long-range dependent processes, A simple test for the equality of integration orders, Testing for boundary conditions in case of fractionally integrated processes, Refined Inference on Long Memory in Realized Volatility, Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory, Why Aggregate Long Memory Time Series?, A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model, Adaptive semiparametric estimation of the memory parameter., EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND, Bootstrap approaches for estimation and confidence intervals of long memory processes, Estimation of Time-Varying Long Memory Parameter Using Wavelet Method, A comparison of Hurst exponent estimators in long-range dependent curve time series, Fully modified narrow‐band least squares estimation of weak fractional cointegration, Regressions with asymptotically collinear regressors, Semiparametric estimation of spatial long-range dependence, MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES, Semiparametric analysis of long-range dependence in nonlinear regression, NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION, Large scale reduction principle and application to hypothesis testing, APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL, Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions, Statistical properties of detrended fluctuation analysis, Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques, A fractional integration analysis of the population in some OECD countries, Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study, Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study., The absolute Gini is a more reliable measure of inequality for time dependent analyses (compared with the relative Gini), On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, The estimation of misspecified long memory models, Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations, Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion, Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion, A piecewise polynomial trend against long range dependence, Bootstrap-based bandwidth choice for log-periodogram regression, On the properties of the periodogram of a stationary long-memory process over different epochs with applications, Local Whittle estimation of the memory parameter in presence of deterministic components, VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES, CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS, Indirect estimation of ARFIMA and VARFIMA models, Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity, Estimation of long-range dependence in gappy Gaussian time series, ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA, A comparison of semiparametric tests for fractional cointegration, Estimating multiple breaks in mean sequentially with fractionally integrated errors, BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL, Two-step wavelet-based estimation for Gaussian mixed fractional processes, Nonparametric estimation for dependent data, UNBALANCED COINTEGRATION, BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION, Fast Bayesian estimation for VARFIMA processes with stable errors, Change-in-mean tests in long-memory time series: a review of recent developments, Financial econometrics: Past developments and future challenges, Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends, Local empirical spectral measure of multivariate processes with long range dependence., Tests of long memory: a bootstrap approach, On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series, A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS, Semiparametric estimation for stationary processes whose spectra have an unknown pole, Exact local Whittle estimation of fractional integration, Determination of cointegrating rank in fractional systems., Estimation methods for stationary Gegenbauer processes, The S-estimator in the change-point random model with long memory, On optimal block resampling for Gaussian-subordinated long-range dependent processes, Higher-order improvements of the sieve bootstrap for fractionally integrated processes, Higher-order kernel semiparametric M-estimation of long memory