Local Whittle estimation of fractional integration for nonlinear processes
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- Local Whittle estimation of fractional integration and some of its variants
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Exact local Whittle estimation of fractional integration
- Local polynomial Whittle estimation of perturbed fractional processes
- Local Whittle estimation of multi-variate fractionally integrated processes
- Efficient tapered local Whittle estimation of multivariate fractional processes
- Estimation d’intégrales de processus multi-fractionnaires
- Exact local Whittle estimation of fractionally cointegrated systems
- Nonhomogeneous fractional integration and multifractional processes
- Estimation of fractional integration in the presence of data noise
Cites work
- A model for long memory conditional heteroscedasticity.
- Alternative forms of fractional Brownian motion
- Central limit theorems for time series regression
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistent estimation of the memory parameter for nonlinear time series
- Estimating Long Memory in Volatility
- Exact local Whittle estimation of fractional integration
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Generalized autoregressive conditional heteroscedasticity
- Limit theorems for iterated random functions
- Local Whittle estimation in nonstationary and unit root cases.
- Local Whittle estimation of fractional integration and some of its variants
- Non-stationary log-periodogram regression
- Nonlinear system theory: Another look at dependence
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On linear processes with dependent innovations
- Robust automatic bandwidth for long memory
- Stationarity and the existence of moments of a family of GARCH processes.
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The distance between rival nonstationary fractional processes
- Weak convergence of multivariate fractional processes
Cited in
(30)- Adaptive Inference for Change Points in High-Dimensional Data
- Inference for change points in high-dimensional data via selfnormalization
- Local Whittle estimation of fractional integration and some of its variants
- Nonstationarity-extended Whittle estimation
- Frequency domain local bootstrap in short and long memory time series
- Asymptotic spectral theory for nonlinear time series
- Efficient tapered local Whittle estimation of multivariate fractional processes
- Whittle-type estimation under long memory and nonstationarity
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
- Exact local Whittle estimation in long memory time series with multiple poles
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Change-point analysis of time series with evolutionary spectra
- Strong invariance principles for dependent random variables
- Nonparametric detection of a time-varying mean
- Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
- A bootstrap approximation for the distribution of the local Whittle estimator
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
- Fractionally integrated curve time series with cointegration
- A simple test of changes in mean in the possible presence of long-range dependence
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models
- The effect of round-off error on long memory processes
- LLN for quadratic forms of long memory time series and its applications in random matrix theory
- The dual frequency spectral density function of locally periodic stationary processes with an application to testing for correlation between different frequency bands of a time series
- On asymptotic distributions of weighted sums of periodograms
- Adaptive Testing for High-Dimensional Data
- Nonstationarity-extended local Whittle estimation
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Memory properties of transformations of linear processes
- Exact local Whittle estimation of fractionally cointegrated systems
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