On the properties of the periodogram of a stationary long-memory process over different epochs with applications
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Publication:3077673
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Cites work
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- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- Adaptive semiparametric estimation of the memory parameter.
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
- Broadband log-periodogram regression of time series with long-range dependence
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Gaussian semiparametric estimation of long range dependence
- Log-periodogram regression of time series with long range dependence
- Moment bounds and central limit theorem for functions of Gaussian vectors
- On a class of M-estimators for Gaussian long-memory models
- Pooled Log Periodogram Regression
- RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
- Semiparametric analysis of long-memory time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing and estimating for change in long memory parameter
- Testing for a change of the long-memory parameter
- Testing that a Gaussian process is stationary
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
Cited in
(12)- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Large-sample properties of the periodogram estimator of seasonally persistent processes
- Pooled Log Periodogram Regression
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity
- Record length requirement of long-range dependent teletraffic
- On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series
- Averaged periodogram estimation of long memory
- An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- scientific article; zbMATH DE number 520097 (Why is no real title available?)
- scientific article; zbMATH DE number 727022 (Why is no real title available?)
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