Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models

DOI10.1080/10485252.2016.1163350zbMATH Open1343.62068OpenAlexW2318566544MaRDI QIDQ2811279FDOQ2811279

Authors: Masaki Narukawa 

Publication date: 10 June 2016

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2016.1163350

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• Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
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zbMATH Keywords

semiparametric estimationlong memoryexponential modelscyclical behaviour

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN
• Broadband semi-parametric estimation of long-memory time series by fractional exponential models

Cited In (4)

• Estimation methods for stationary Gegenbauer processes
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
• Estimation of cyclic long-memory parameters

Uses Software

• Ox

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