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

DOI10.1111/J.1467-9892.1996.TB00269.XzbMATH Open0845.62059OpenAlexW2042565838MaRDI QIDQ4881704FDOQ4881704

Authors:

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

Recommendations

• On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
• Robust estimation for continuous-time linear models with memory
• Log-periodogram estimation of the memory parameter of a long-memory process under trend.
• Discrimination between monotonic trends and long-range dependence
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS

zbMATH Keywords

asymptotic normalitytime serieslong-range dependencerobustnessstationary processshort-range dependencetrendsHurst indexdeparture from stationaritysmoothed periodogram approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• The Hurst effect under trends
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Title not available (Why is that?)
• Discrimination between monotonic trends and long-range dependence
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• On asymptotic quasi-likelihood estimation
• On a class of random field models which allows long range dependence

Cited In (13)

• Statistical estimation for stationary models with tapered data
• Statistical inference for stationary linear models with tapered data
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Wavelet-domain test for long-range dependence in the presence of a trend
• Log-periodogram estimation of the memory parameter of a long-memory process under trend.
• Truncated sum of squares estimation of fractional time series models with deterministic trends
• Long memory and stochastic trend.
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• On discriminating between long-range dependence and changes in mean
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Robust estimation for continuous-time linear models with memory
• On the robustness to small trends of parameter estimation for continuous-time stationary models with memory

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