Whittle-type estimation under long memory and nonstationarity
From MaRDI portal
Publication:2218620
DOI10.1007/s10182-019-00358-0zbMath1457.62257OpenAlexW2982409510MaRDI QIDQ2218620
Publication date: 15 January 2021
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-019-00358-0
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Fractional processes, including fractional Brownian motion (60G22)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Nonstationarity-extended local Whittle estimation
- An I(\(d\)) model with trend and cycles
- Efficient parameter estimation for self-similar processes
- Semiparametric estimation in perturbed long memory series
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Alternative forms of fractional Brownian motion
- Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
- A bootstrap approximation for the distribution of the local Whittle estimator
- Local Whittle estimation in nonstationary and unit root cases.
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- Exact local Whittle estimation of fractional integration
- Estimators of long-memory: Fourier versus wavelets
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
- LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Time Series Analysis with Long Memory in View
This page was built for publication: Whittle-type estimation under long memory and nonstationarity