On a class of estimation and test for long memory

DOI10.1016/J.PHYSA.2018.06.092OpenAlexW1682599076MaRDI QIDQ2153233FDOQ2153233

Authors: Hui Fu, Xin-Jiang He, Wen-Ting Chen 

Publication date: 1 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2622&context=eispapers1

Recommendations

• TESTING FOR LONG MEMORY
• Rescaled variance and related tests for long memory in volatility and levels
• Semiparametric analysis of long-memory time series
• A test of the long memory hypothesis based on self-similarity
• The detection and estimation of long memory in stochastic volatility

zbMATH Keywords

long memory\textit{SLmemory} statistictime scale seriesweak variance scale exponent

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Time series: theory and methods.
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• Title not available (Why is that?)
• Long‐Memory Time Series
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Gaussian semiparametric estimation of long range dependence
• Long memory processes and fractional integration in econometrics
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long-Term Memory in Stock Market Prices
• Title not available (Why is that?)
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Title not available (Why is that?)
• On a class of M-estimators for Gaussian long-memory models
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Rescaled variance and related tests for long memory in volatility and levels
• Corrigendum to: ``Rescaled variance and related tests for long memory in volatility and levels
• Two estimators of the long-run variance: beyond short memory
• Locally stationary long memory estimation
• Estimation and pricing under long-memory stochastic volatility

Cited In (6)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Rescaled variance and related tests for long memory in volatility and levels
• The scaling function-based estimator of long memory in the presence of a short-term component
• Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
• Tests of long memory: a bootstrap approach

This page was built for publication: On a class of estimation and test for long memory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2153233)