On Semiparametric Testing of I(d) by FEXP Models

DOI10.1080/03610926.2011.594539zbMath1294.62211OpenAlexW2075874393MaRDI QIDQ4929216

Masaki Narukawa

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.594539

zbMATH Keywords

semiparametric testingfractional exponential modelsI(\(d\)) processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• The FEXP estimator for potentially non-stationary linear time series.
• Convergence of a stochastic approximation version of the EM algorithm
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
• Approximation Theorems of Mathematical Statistics
• A Nonparametric Test for I(0)
• Broadband semi-parametric estimation of long-memory time series by fractional exponential models
• The asymptotic theory of linear time-series models
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
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