Global semiparametric estimation of long-memory signal plus noise processes

DOI10.14490/JJSS.41.205zbMATH Open1403.62168OpenAlexW1972892676MaRDI QIDQ4905029FDOQ4905029

Authors: Masaki Narukawa 

Publication date: 14 February 2013

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=41_205&screenID=AF06S010&noVol=41&noIssue=2

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zbMATH Keywords

semiparametric estimationlong-memoryLMSV modelfractional exponential model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (6)

• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Title not available (Why is that?)
• Semiparametric inference in correlated long memory signal plus noise models
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Local polynomial Whittle estimation of perturbed fractional processes
• Semiparametric estimation in perturbed long memory series

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