ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
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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
- A test of location for data with slowly decaying serial correlations
- Central limit theorems for quadratic forms in random variables having long-range dependence
- Efficient parameter estimation for self-similar processes
- Fractional Brownian Motions, Fractional Noises and Applications
- scientific article; zbMATH DE number 193709 (Why is no real title available?)
- scientific article; zbMATH DE number 3037359 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory relationships and the aggregation of dynamic models
- Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
- M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
- On bilinear forms in Gaussian random variables and Toeplitz matrices
- On large-sample estimation for the mean of a stationary random sequence
- On models and methods for Bayesian time series analysis
- ON THE VARIATION OF YIELD VARIANCE WITH PLOT SIZE
- PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
- Testing and estimating change-points in time series
- Testing for the Constancy of Parameters Over Time
- Testing that a Gaussian process is stationary
- The application of the fast Fourier transform algorithm to the estimation of spectra and cross-spectra
- Topographic correlation, power-law covariance functions, and diffusion
Cited in
(25)- On parameter estimation for locally stationary long-memory processes
- On least squares estimation for long-memory lattice processes
- A comparison of techniques of estimation in long-memory processes.
- A wavelet lifting approach to long-memory estimation
- Maximum likelihood estimators of a long-memory process from discrete observations
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Long memory processes and fractional integration in econometrics
- Estimating a generalized long memory process
- Averaged periodogram estimation of long memory
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Convex combinations of long memory estimates from different sampling rates
- A comparative note about estimation of the fractional parameter under additive outliers
- Statistical delay analysis on an ATM switch with self-similar input traffic
- Long-range dependence and approximate Bayesian computation
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- scientific article; zbMATH DE number 4176278 (Why is no real title available?)
- CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
- A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
- Inference of bivariate long-memory aggregate time series
- On estimating the marginal distribution of a detrended series with long memory
- Structural changes estimation for strongly dependent processes
- On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
- On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
- On rapid change points under long memory
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