Global semiparametric estimation of long-memory signal plus noise processes

DOI10.14490/JJSS.41.205MaRDI QIDQ4905029zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Estimating Long Memory in Volatility
• Semi-parametric smoothing estimators for long-memory processes with added noise
• scientific article; zbMATH DE number 1944316
• Semiparametric estimation in perturbed long memory series

Cited in

(6)

• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• scientific article; zbMATH DE number 1944316 (Why is no real title available?)
• 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

This page was built for publication: Global semiparametric estimation of long-memory signal plus noise processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4905029)