Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity

DOI10.1016/J.JSPI.2019.07.007MaRDI QIDQ2301060zbMATH OpenOpenAlexFDO

Authors Changryong Baek, Stefanos Kechagias, Vladas Pipiras

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2019.07.007

zbMATH Keywords

fractal connectivityfractional cointegrationlocal Whittle estimationlong memorymultivariate time seriesphase parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Computationally efficient methods for two multivariate fractionally integrated models
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• Exact local Whittle estimation of fractionally cointegrated systems
• Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• Large sample inference for long memory processes
• Local Whittle estimation of multi-variate fractionally integrated processes
• Log-periodogram regression of time series with long range dependence
• Long-memory processes. Probabilistic properties and statistical methods
• Long-Range Dependence and Self-Similarity
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Multiple local Whittle estimation in stationary systems
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Realized kernels in practise : trades and quotes

Cited in

(4)

• Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
• Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
• Local Whittle estimation of high-dimensional long-run variance and precision matrices
• Multiple local Whittle estimation in stationary systems

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Uses Software

• longmemo
• Mathematica

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