Consistent estimation of the memory parameter for nonlinear time series
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Publication:3440757
DOI10.1111/J.1467-9892.2005.00464.XzbMATH Open1115.62084OpenAlexW2059511317MaRDI QIDQ3440757FDOQ3440757
Authors: Violetta Dalla, L. Giraitis, Javier Hidalgo 
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00464.x
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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) Monte Carlo methods (65C05) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Exact local Whittle estimation of fractional integration
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Convergence of integrated processes of arbitrary Hermite rank
- Nonlinear log-periodogram regression for perturbed fractional processes
- The detection and estimation of long memory in stochastic volatility
- Non-central limit theorems for non-linear functional of Gaussian fields
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
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- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Broadband log-periodogram regression of time series with long-range dependence
- The memory of stochastic volatility models
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- Estimating Long Memory in Volatility
- Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
Cited In (40)
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- Multiple local Whittle estimation in stationary systems
- Polynomial Cointegration Between Stationary Processes With Long Memory
- Inference for continuous-time long memory randomly sampled processes
- Modified information criteria and selection of long memory time series models
- Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- Exact local Whittle estimation in long memory time series with multiple poles
- Nonlinear models for strongly dependent processes with financial applications
- Evaluating currency risk in emerging markets
- Time varying long memory parameter estimation for locally stationary long memory processes
- Discrete time parametric models with long memory and infinite variance
- A test for weak stationarity in the spectral domain
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Two estimators of the long-run variance: beyond short memory
- Estimators of long-memory: Fourier versus wavelets
- An I(\(d\)) model with trend and cycles
- Local Whittle estimation of fractional integration for nonlinear processes
- Title not available (Why is that?)
- Local Whittle estimation of the memory parameter in presence of deterministic components
- A bootstrap approximation for the distribution of the local Whittle estimator
- A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
- Semiparametric detection of changes in long range dependence
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- Title not available (Why is that?)
- The effect of round-off error on long memory processes
- Nonparametric regression with heteroscedastic long memory errors
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Goodness-of-fit testing under long memory
- Parameter estimation for energy balance models with memory
- Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Local Whittle estimation of multi-variate fractionally integrated processes
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- On the estimation of short memory components in long memory time series models
- Goodness-of-fit tests for long memory moving average marginal density
- Nonstationarity-extended local Whittle estimation
- Spectral estimation for non-linear long range dependent discrete time trawl processes
- Smooth estimation of error distribution in nonparametric regression under long memory
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