M-periodogram for the analysis of long-range-dependent time series
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Publication:4567925
Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 3655215 (Why is no real title available?)
- scientific article; zbMATH DE number 472980 (Why is no real title available?)
- scientific article; zbMATH DE number 3395249 (Why is no real title available?)
- A Nonlinear Method for Robust Spectral Analysis
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- An \(M\)-estimator for the long-memory parameter
- Asymptotic properties of \(U\)-processes under long-range dependence
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Highly robust estimation of the autocovariance function
- Laplace Periodogram for Time Series Analysis
- Large sample behaviour of some well-known robust estimators under long-range dependence
- Large sample inference for long memory processes
- M-estimators in linear models with long range dependent errors
- Non-stationary log-periodogram regression
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Robust estimation in long-memory processes under additive outliers
- Robust estimation in time series with long and short memory properties
- Robust estimation of periodic autoregressive processes in the presence of additive outliers
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
Cited in
(5)- ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
- Empirical study of robust estimation methods for PAR models with application to the air quality area
- From zero crossings to quantile-frequency analysis of time series with an application to nondestructive evaluation
- A spectral approach to estimate the autocovariance function
- Estimating long-range dependence in the presence of periodicity: An empirical study
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