ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM

DOI10.1111/j.1467-9892.1996.tb00269.xzbMath0845.62059MaRDI QIDQ4881704

No author found.

Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00269.x

zbMATH Keywords

robustness; asymptotic normality; time series; long-range dependence; stationary process; trends; Hurst index; short-range dependence; departure from stationarity; smoothed periodogram approach

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)

Related Items

Log-periodogram estimation of the memory parameter of a long-memory process under trend., Long memory and stochastic trend., On discriminating between long-range dependence and changes in mean, Local Whittle estimation of the memory parameter in presence of deterministic components, Wavelet-domain test for long-range dependence in the presence of a trend, A generalized ARFIMA process with Markov-switching fractional differencing parameter

Cites Work

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• On asymptotic quasi-likelihood estimation
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• The Hurst effect under trends
• On a class of random field models which allows long range dependence
• Discrimination between monotonic trends and long-range dependence