AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

DOI10.1111/J.1467-9892.1994.TB00194.XMaRDI QIDQ4299036zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich, Kaizô Iwakami Beltrão

Publication date 21 July 1994

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00194.x

zbMATH Keywords

frequency domain cross-validationlog periodogramlong-memory, stationary Gaussian time seriesmemory parametersimulation studyspectral density

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Averaged periodogram estimation of long memory
• Model selection for broadband semiparametric estimation of long memory in time series
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

Cites work

• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Discrimination between monotonic trends and long-range dependence
• Log-periodogram regression of time series with long range dependence

Cited in

(30)

• On the effect of seasonal adjustment on the log-periodogram regression
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• An improvement of the GPH estimator.
• Modified information criteria and selection of long memory time series models
• Long memory processes and fractional integration in econometrics
• Adaptive semiparametric estimation of the memory parameter.
• An M-estimator for the long-memory parameter
• Convex combinations of long memory estimates from different sampling rates
• Robust automatic bandwidth for long memory
• Unit root log periodogram regression
• Model selection for broadband semiparametric estimation of long memory in time series
• A comparative note about estimation of the fractional parameter under additive outliers
• Bootstrap-based bandwidth choice for log-periodogram regression
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Long-memory in high-frequency exchange rate volatility under temporal aggregation
• Why Aggregate Long Memory Time Series?
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• The periodogram regression:correction and comments
• Indirect inference for fractional time series models
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Robust testing for stationarity of global surface temperature
• Order selection and inference with long memory dependent data
• Long memory and regime switching
• Detection of long range dependence in the time domain for (in)finite-variance time series
• Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise
• The Estimation and Testing of the Cointegration Order Based on the Frequency Domain
• Filtered log-periodogram regression of long memory processes
• Multiple local Whittle estimation in stationary systems
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks

This page was built for publication: AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4299036)