Estimation methods for the LRD parameter under a change in the mean
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Publication:2633430
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Cites work
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- Change-in-mean problem for long memory time series models with applications
- Change-point detection with rank statistics in long-memory time-series models
- Change-Point Estimation in Long Memory Nonparametric Models with Applications
- Change-point in the mean of dependent observations
- Detecting changes from short to long memory
- Estimation and information in stationary time series
- ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Exact local Whittle estimation of fractional integration
- Gaussian semiparametric estimation of long range dependence
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- scientific article; zbMATH DE number 1301878 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 797365 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 5042883 (Why is no real title available?)
- Inference for single and multiple change-points in time series
- Linear Trend with Fractionally Integrated Errors
- Local Whittle estimation in nonstationary and unit root cases.
- Local Whittle estimation of the memory parameter in presence of deterministic components
- Log-periodogram regression of time series with long range dependence
- Long memory and regime switching
- Long memory or structural changes: an empirical examination on inflation rates
- Long memory processes and fractional integration in econometrics
- Long memory versus structural breaks: an overview
- Long-memory processes. Probabilistic properties and statistical methods
- Long-Term Memory in Stock Market Prices
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Non-parametric change-point tests for long-range dependent data
- On discriminating between long-range dependence and changes in mean
- Stock market prices and long-range dependence
- Testing for a break in persistence under long-range dependencies and mean shifts
- The change-point problem for dependent observations
- The detection and estimation of long memory in stochastic volatility
- The effect of long-range dependence on change-point estimators
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(5)- On variance estimation under shifts in the mean
- Unit root testing with slowly varying trends
- Robust scale estimation under shifts in the mean
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
- On robust estimation of negative binomial INARCH models
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