Truncated sum-of-squares estimation of fractional time series models with generalized power law trend

DOI10.1214/22-EJS2009zbMath1493.62526OpenAlexW3174962230MaRDI QIDQ2137818

Javier Hualde, Morten Ørregaard Nielsen

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-1/Truncated-sum-of-squares-estimation-of-fractional-time-series-models/10.1214/22-EJS2009.full

zbMATH Keywords

consistencyasymptotic normalitynonstationaritydeterministic trendnoninvertibilityfractional processgeneralized polynomial trendgeneralized power law trendsum-of-squares estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Parametric estimation of long memory in factor models

Cites Work

• Unnamed Item
• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
• Cointegration in fractional systems with deterministic trends
• Nonstationarity-extended local Whittle estimation
• Inference on power law spatial trends
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Likelihood inference for a nonstationary fractional autoregressive model
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Asymptotic theory of nonlinear least squares estimation
• Non-stationary log-periodogram regression
• Estimating fractional cointegration in the presence of polynomial trends
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
• A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
• THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Efficient Tests of Nonstationary Hypotheses
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Consideration of Trends in Time Series
• TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS
• Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
• The asymptotic theory of linear time-series models
• An exponential model for the spectrum of a scalar time series
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• The average periodogram for nonstationary vector time series

This page was built for publication: Truncated sum-of-squares estimation of fractional time series models with generalized power law trend