Consistent estimation of the memory parameter for nonlinear time series

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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Cites work

A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
Broadband log-periodogram regression of time series with long-range dependence
Convergence of integrated processes of arbitrary Hermite rank
Estimating Long Memory in Volatility
Exact local Whittle estimation of fractional integration
Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
scientific article; zbMATH DE number 3528866 (Why is no real title available?)
Non-central limit theorems for non-linear functional of Gaussian fields
Nonlinear log-periodogram regression for perturbed fractional processes
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
The detection and estimation of long memory in stochastic volatility
The memory of stochastic volatility models

Cited in

(43)

Discrete time parametric models with long memory and infinite variance
Modified information criteria and selection of long memory time series models
A bootstrap approximation for the distribution of the local Whittle estimator
Whittle estimator for finite-variance non-Gaussian time series with long memory
Goodness-of-fit tests for long memory moving average marginal density
Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
Spectral estimation for non-linear long range dependent discrete time trawl processes
Data-driven semi-parametric detection of multiple changes in long-range dependent processes
Asymptotic inference in some heteroscedastic regression models with long memory design and errors
Estimators of long-memory: Fourier versus wavelets
On the estimation of short memory components in long memory time series models
Local Whittle estimation of fractional integration for nonlinear processes
Nonstationarity-extended local Whittle estimation
Parameter estimation for energy balance models with memory
Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
Nonlinear models for strongly dependent processes with financial applications
Two estimators of the long-run variance: beyond short memory
Local Whittle estimation of the memory parameter in presence of deterministic components
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
Polynomial Cointegration Between Stationary Processes With Long Memory
Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
scientific article; zbMATH DE number 1995725 (Why is no real title available?)
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
scientific article; zbMATH DE number 2168996 (Why is no real title available?)
Local Whittle estimation of multi-variate fractionally integrated processes
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
Time varying long memory parameter estimation for locally stationary long memory processes
Semiparametric detection of changes in long range dependence
Smooth estimation of error distribution in nonparametric regression under long memory
A test for weak stationarity in the spectral domain
Exact local Whittle estimation in long memory time series with multiple poles
Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
Inference for continuous-time long memory randomly sampled processes
Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
Nonparametric detection of a time-varying mean
An I(d) model with trend and cycles
Nonparametric regression with heteroscedastic long memory errors
The effect of round-off error on long memory processes
A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
Multiple local Whittle estimation in stationary systems
Goodness-of-fit testing under long memory
Evaluating currency risk in emerging markets

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