Long-Memory Processes

DOI10.1007/978-3-642-35512-7zbMath1282.62187OpenAlexW1508427692WikidataQ105583306 ScholiaQ105583306MaRDI QIDQ4904942

Jan Beran, Rafał Kulik, Yuanhua Feng, Sucharita Ghosh

Publication date: 13 February 2013

Full work available at URL: https://doi.org/10.1007/978-3-642-35512-7

zbMATH Keywords

antipersistenceshort memory processes

Mathematics Subject Classification ID

Related Items (only showing first 100 items - show all)

Two-sample U-statistic processes for long-range dependent data ⋮ Jump detection in high-frequency financial data using wavelets ⋮ Unnamed Item ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ On nonparametric density estimation for multivariate linear long-memory processes ⋮ Time varying long memory parameter estimation for locally stationary long memory processes ⋮ DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES ⋮ Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence ⋮ A note on using the empirical moment generating function to estimate the variance of nonparametric trend estimates from independent time series replicates ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise ⋮ Market calibration under a long memory stochastic volatility model ⋮ Convergence of partial sum processes to stable processes with application for aggregation of branching processes ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Moment estimator for an AR(1) model driven by a long memory Gaussian noise ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise ⋮ On the fractional Eulerian numbers and equivalence of maps with long term power-law memory (integral Volterra equations of the second kind) to Grünvald-Letnikov fractional difference (differential) equations ⋮ Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series ⋮ An informatic approach to a long memory stationary process ⋮ Bayesian estimation of Gegenbauer processes ⋮ Parameter estimation in Manneville-Pomeau processes ⋮ Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ Seasonal generalized AR models ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ A functional limit theorem for general shot noise processes ⋮ ON ASYMPTOTICS OF FUNCTIONALS OF RANDOM FIELDS WITH LONG-RANGE DEPENDENCE ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Harmonically Weighted Processes ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Asymptotic behavior of the prediction error for stationary sequences ⋮ On the asymptotic distribution of sample autocovariance differences of long-memory processes ⋮ Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Consistency and asymptotic normality in a class of nearly unstable processes ⋮ Limit theorems for a higher order time dependent Markov chain model ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ On estimating the marginal distribution of a detrended series with long memory ⋮ Delta-hedging in fractional volatility models ⋮ Robust estimation for continuous-time linear models with memory ⋮ Multichannel deconvolution with long-range dependence: a minimax study ⋮ Long-Range Dependent Curve Time Series ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance ⋮ Long range dependence of heavy-tailed random functions ⋮ Generalized operator-scaling random ball model ⋮ Dilatively stable stochastic processes and aggregate similarity ⋮ Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence ⋮ Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory ⋮ Partially Linear Functional Additive Models for Multivariate Functional Data ⋮ On the effect of long-range dependence on extreme value copula estimation with fixed marginals ⋮ Long range dependence for stable random processes ⋮ ON STATISTICAL PROPERTIES OF NONLINEAR FUNCTIONALS OF RANDOM FIELDS ⋮ Surface estimation under local stationarity ⋮ A Note on Bayesian Inference for Long-Range Dependence of a Stationary Two-State Process ⋮ Testing for the expected number of exceedances in strongly dependent seasonal time series ⋮ EWMA control charts for detecting changes in the mean of a long-memory process ⋮ Statistical signatures of structural organization: the case of long memory in renewal processes ⋮ On nonparametric regression for bivariate circular long-memory time series ⋮ Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors ⋮ On two sample inference for eigenspaces in functional data analysis with dependent errors ⋮ Testing long memory based on a discretely observed process ⋮ An optimal approximation of Rosenblatt sheet by multiple Wiener integrals ⋮ The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ A note on stationary bootstrap variance estimator under long-range dependence ⋮ On nonparametric ridge estimation for multivariate long-memory processes ⋮ A unified approach to self-normalized block sampling ⋮ An integrate-and-fire model to generate spike trains with long-range dependence ⋮ Non-local solvable birth-death processes ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Approximation of the Rosenblatt sheet ⋮ Limit theorems for linear random fields with innovations in the domain of attraction of a stable law ⋮ Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts ⋮ Statistical inference for stationary linear models with tapered data ⋮ Historical survey: the chronicles of fractional calculus ⋮ State space modeling of Gegenbauer processes with long memory ⋮ Long memory, fractional integration, and cross-sectional aggregation ⋮ Bayesian semiparametric long memory models for discretized event data ⋮ Asymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary process ⋮ Comparing two nonparametric regression curves in the presence of long memory in covariates and errors ⋮ On the memory of products of long range dependent time series ⋮ Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Asymptotics of estimators for nonparametric multivariate regression models with long memory ⋮ Reduction principle for functionals of vector random fields ⋮ Limit theorems in the context of multivariate long-range dependence ⋮ A functional non-central limit theorem for multiple-stable processes with long-range dependence ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes ⋮ Concept of dynamic memory in economics ⋮ A multivariate test against spurious long memory ⋮ Fractional and integer derivatives with continuously distributed lag ⋮ Self-organization with memory ⋮ On the empirical process of tempered moving averages ⋮ On local slope estimation in partial linear models under Gaussian subordination ⋮ Nearest neighbors estimation for long memory functional data ⋮ Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models ⋮ Sensitivity of the Hermite rank ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Productivity with fatigue and long memory: fractional calculus approach ⋮ Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory

Uses Software

• longmemo

This page was built for publication: Long-Memory Processes