Nonstationarity-extended Whittle estimation with discontinuity: a correction

DOI10.1016/j.econlet.2019.108914zbMath1436.62415OpenAlexW2995102798MaRDI QIDQ2295364

Ying Lun Cheung

Publication date: 13 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108914

zbMATH Keywords

fractional integrationdiscontinuitynonstationary time seriestest distortion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Brownian motion (60J65)

Cites Work

• Nonstationarity-extended local Whittle estimation
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Alternative forms of fractional Brownian motion
• Gaussian semiparametric estimation of long range dependence
• Exact local Whittle estimation of fractional integration
• Estimators of long-memory: Fourier versus wavelets
• 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
• A FAST FRACTIONAL DIFFERENCE ALGORITHM
• Modeling and Forecasting Realized Volatility

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