scientific article; zbMATH DE number 2174795
From MaRDI portal
Publication:4682143
zbMath1113.62106MaRDI QIDQ4682143
No author found.
Publication date: 9 June 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)
Related Items (76)
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ When long memory meets the Kalman filter: a comparative study ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models ⋮ Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts ⋮ On a class of estimation and test for long memory ⋮ State space modeling of Gegenbauer processes with long memory ⋮ Statistical tests for a single change in mean against long-range dependence ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ Nonparametric quantile regression with heavy-tailed and strongly dependent errors ⋮ Complex network approach to fractional time series ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ Modeling bivariate long‐range dependence with general phase ⋮ On the asymptotic distribution of sample autocovariance differences of long-memory processes ⋮ Nonparametric estimation of conditional medians for linear and related processes ⋮ Self-organization with memory ⋮ Comparison of non-parametric and semi-parametric tests in detecting long memory ⋮ Low-frequency robust cointegration testing ⋮ Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ Infant mortality rates: time trends and fractional integration ⋮ Long-Range Dependent Curve Time Series ⋮ Constancy test for FARIMA long memory processes ⋮ Parameter estimation for long-memory stochastic volatility at discrete observation ⋮ The Volatility of Realized Volatility ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ Asymptotic spectral theory for nonlinear time series ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Productivity with fatigue and long memory: fractional calculus approach ⋮ Large deviation results on some estimators for stationary Gaussian processes ⋮ Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence ⋮ Evaluating the efficiency of fractional integration parameter estimators ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Weak and strong cross‐section dependence and estimation of large panels ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Short-term load forecasting method based on fuzzy time series, seasonality and long memory process ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ Comparing the marginal densities of two strictly stationary linear processes ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach ⋮ Powerful nonparametric seasonal unit root tests ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ Unnamed Item ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ Local Whittle estimator for anisotropic random fields ⋮ Computationally efficient methods for two multivariate fractionally integrated models ⋮ Can Markov switching model generate long memory? ⋮ Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence ⋮ Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity ⋮ Nonlinear correlations in multifractals: Visibility graphs of magnitude and sign series ⋮ Estimation of fractional integration in the presence of data noise ⋮ Harrod-Domar growth model with memory and distributed lag ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC ⋮ On least squares estimation for long-memory lattice processes ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process ⋮ Macroeconomic models with long dynamic memory: fractional calculus approach ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Local Whittle estimation of long‐range dependence for functional time series ⋮ Spurious Regressions in Time Series with Long Memory ⋮ Option pricing with non-Gaussian scaling and infinite-state switching volatility ⋮ Limit order books ⋮ Spectral analysis of multifractional LRD functional time series ⋮ Nonlocal statistical mechanics: general fractional Liouville equations and their solutions ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors ⋮ Benoît Mandelbrot and fractional Brownian motion ⋮ The Self-normalized Asymptotic Results for Linear Processes
This page was built for publication: