On the properties of the periodogram of a stationary long-memory process over different epochs with applications

DOI10.1111/J.1467-9892.2009.00637.XzbMATH Open1224.62078OpenAlexW1590321398MaRDI QIDQ3077673FDOQ3077673

Authors: Valdério Anselmo Reisen, Philippe Soulier, Eric Moulines, Glaura C. Franco 

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.1467-9892.2009.00637.x

Recommendations

• scientific article; zbMATH DE number 724880
• The integrated periodogram for long-memory processes with finite or infinite variance
• scientific article; zbMATH DE number 727022
• scientific article; zbMATH DE number 520097
• Large-sample properties of the periodogram estimator of seasonally persistent processes
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach

zbMATH Keywords

stationarity testspectral estimationlong-memory time seriesperiodogram regressionaveraged periodogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Title not available (Why is that?)
• Testing that a Gaussian process is stationary
• Semiparametric analysis of long-memory time series
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Title not available (Why is that?)
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a change of the long-memory parameter
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• Testing and estimating for change in long memory parameter
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• On a class of M-estimators for Gaussian long-memory models
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Broadband log-periodogram regression of time series with long-range dependence
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Adaptive semiparametric estimation of the memory parameter.
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• Moment bounds and central limit theorem for functions of Gaussian vectors
• Pooled Log Periodogram Regression
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

Cited In (12)

• Pooled Log Periodogram Regression
• Bootstrap tests for fractional integration and cointegration: a comparison study
• Record length requirement of long-range dependent teletraffic
• Averaged periodogram estimation of long memory
• A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Large-sample properties of the periodogram estimator of seasonally persistent processes
• On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series

This page was built for publication: On the properties of the periodogram of a stationary long-memory process over different epochs with applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3077673)