Local Whittle estimation of fractional integration for nonlinear processes

DOI10.1017/S0266466607070387zbMATH Open1274.62566MaRDI QIDQ2886971FDOQ2886971

Authors: Wei Biao Wu, Xiaofeng Shao 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

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• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
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• 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Nonlinear system theory: Another look at dependence
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Local Whittle estimation in nonstationary and unit root cases.
• Exact local Whittle estimation of fractional integration
• Robust automatic bandwidth for long memory
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Non-stationary log-periodogram regression
• The distance between rival nonstationary fractional processes
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• A model for long memory conditional heteroscedasticity.
• Local Whittle estimation of fractional integration and some of its variants
• Central limit theorems for time series regression
• Stationarity and the existence of moments of a family of GARCH processes.
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Limit theorems for iterated random functions
• Consistent estimation of the memory parameter for nonlinear time series
• On linear processes with dependent innovations
• Estimating Long Memory in Volatility

Cited In (22)

• Adaptive Inference for Change Points in High-Dimensional Data
• EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
• Inference for change points in high-dimensional data via selfnormalization
• Nonstationarity-extended Whittle estimation
• A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter
• 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
• Change-point analysis of time series with evolutionary spectra
• Strong invariance principles for dependent random variables
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• A bootstrap approximation for the distribution of the local Whittle estimator
• Fractionally integrated curve time series with cointegration
• A simple test of changes in mean in the possible presence of long-range dependence
• 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
• On asymptotic distributions of weighted sums of periodograms
• 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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