Bootstrap-based bandwidth choice for log-periodogram regression
DOI10.1111/J.1467-9892.2009.00629.XzbMATH Open1224.62045OpenAlexW1986377969MaRDI QIDQ3077665FDOQ3077665
Authors: Josu Arteche, Jesus Orbe 
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00629.x
Recommendations
- Bandwidth choice, optimal rates and adaptivity in semiparametric estimation of long memory
- Robust automatic bandwidth for long memory
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Broadband log-periodogram regression of time series with long-range dependence
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Nonlinear log-periodogram regression for perturbed fractional processes
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- On bootstrapping kernel spectral estimates
- Non-stationary log-periodogram regression
- Semiparametric inference in seasonal and cyclical long memory processes
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- Adaptive semiparametric estimation of the memory parameter.
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- The Local Bootstrap for Periodogram Statistics
- Semiparametric estimation in perturbed long memory series
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Bootstrapping the log-periodogram regression
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
Cited In (12)
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Note on bandwidth selection in testing for long range dependence.
- Semiparametric inference in correlated long memory signal plus noise models
- Nonparametric curve estimation and bootstrap bandwidth selection
- A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
- Robust automatic bandwidth for long memory
- Semiparametric inference and bandwidth choice under long memory: experimental evidence
- On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series
- Bandwidth choice, optimal rates and adaptivity in semiparametric estimation of long memory
- Bootstrapping the log-periodogram regression
- On parameter estimation for locally stationary long-memory processes
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