scientific article; zbMATH DE number 4102338
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(89)- Estimation of fractional integration in the presence of data noise
- Multivariate modelling of long memory processes with common components
- Stochastic models for fractal processes
- SEMIFAR forecasts, with applications to foreign exchange rates.
- A simple test on structural change in long-memory time series
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Estimating fractional cointegration in the presence of polynomial trends
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Variance-type estimation of long memory
- An improvement of the GPH estimator.
- A bootstrap approximation for the distribution of the local Whittle estimator
- On the asymptotic expansion of the empirical process of long-memory moving averages
- Narrow-band analysis of nonstationary processes
- Higher-order kernel semiparametric M-estimation of long memory
- Local Whittle estimation in nonstationary and unit root cases.
- Semiparametric estimation of the long-range parameter
- Estimating self-similarity through complex variations
- Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
- Adaptive semiparametric estimation of the memory parameter.
- Consistent inference for predictive regressions in persistent economic systems
- A comparison of semiparametric tests for fractional cointegration
- Confidence intervals with higher accuracy for short and long-memory linear processes
- Power-law cross-correlations estimation under heavy tails
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Efficient tapered local Whittle estimation of multivariate fractional processes
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- Estimation of long-range dependence in gappy Gaussian time series
- Change-in-mean tests in long-memory time series: a review of recent developments
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Semiparametric estimation of fractional cointegrating subspaces
- Estimation of the memory parameter of the infinite-source Poisson process
- Optimal estimation of cointegrated systems with irrelevant instruments
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Exact local Whittle estimation of fractional integration
- Estimators of long-memory: Fourier versus wavelets
- Estimation methods for the LRD parameter under a change in the mean
- Rank-based change-point analysis for long-range dependent time series
- Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Nonstationary fractionally integrated functional time series
- Residual log-periodogram inference for long-run relationships
- Local Whittle estimation of fractional integration and some of its variants
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
- Asymptotics for duration-driven long range dependent processes
- Nonstationarity-extended local Whittle estimation
- Diagnostic testing for cointegration
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Some examples of similarity families of long range dependent Gaussian processes
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- Multivariate self-similar processes: second-order theory
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
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- On the Effect of Measuring a Self-Similar Process
- Local Whittle estimation of long-range dependence for functional time series
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Estimating the mean direction of strongly dependent circular time series
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Statistical estimation for a class of self-regulating processes
- Self-similar processes, fractional Brownian motion and statistical inference
- STUDY OF SOME NONLINEAR SELF-SIMILAR DISTRIBUTIONS
- What are the Most Important Statistical Ideas of the Past 50 Years?
- Hazard-selfsimilarity of diffusions’ first passage times
- Semiparametric fractional cointegration analysis
- Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
- Long memory conditional random fields on regular lattices
- How the instability of ranks under long memory affects large-sample inference
- Fractional Gaussian noise: spectral density and estimation methods
- Core inflation rate for China and the ASEAN-10 countries: smoothed signal for score-driven local level plus scale models
- Improving the lag window estimators of the spectrum and memory for long-memory stationary Gaussian processes
- Reduced-bias Whittle likelihood estimation for short- and long-memory processes
- Local polynomial Whittle estimation of perturbed fractional processes
- The change-of-variance function for dependent data
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
- The effect of round-off error on long memory processes
- Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- Multiple local Whittle estimation in stationary systems
- Bootstrapping long memory tests: some Monte Carlo results
- Efficiency in estimation of memory
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