From short to long memory: aggregation and estimation

DOI10.1016/j.csda.2009.05.016zbMath1284.62544OpenAlexW2026998819MaRDI QIDQ2445699

Jan Beran, Martin Schützner, Sucharita Ghosh

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.05.016

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• longmemo

Cites Work

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• Aggregation and memory of models of changing volatility
• On the bias of the least squares estimator for the first order autoregressive process
• Long memory relationships and the aggregation of dynamic models
• Contemporaneous aggregation of linear dynamic models in large economies
• Stability of random coefficient ARCH models and aggregation schemes
• Orthogonal series density estimation in a disaggregation scheme
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Contemporaneous aggregation of GARCH processes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• The polynomial aggregated AR(1) model*
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Nonparametric trend estimation in replicated time series

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