Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity

DOI10.1016/j.jspi.2019.07.007zbMath1437.62193OpenAlexW2967811531MaRDI QIDQ2301060

Stefanos Kechagias, Vladas Pipiras, Changryong Baek

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

long memoryfractional cointegrationmultivariate time serieslocal Whittle estimationfractal connectivityphase 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)

Related Items (2)

Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators

Uses Software

• Mathematica
• longmemo

Cites Work

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• Realized kernels in practice: trades and quotes
• Long-Memory Processes
• Local Whittle estimation of multi-variate fractionally integrated processes
• Long-Range Dependence and Self-Similarity

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