Broadband semi-parametric estimation of long-memory time series by fractional exponential models

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Cites work

scientific article; zbMATH DE number 1715060 (Why is no real title available?)
scientific article; zbMATH DE number 3335601 (Why is no real title available?)
A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
A limit theory for long-range dependence and statistical inference on related models
An exponential model for the spectrum of a scalar time series
Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
Broadband log-periodogram regression of time series with long-range dependence
Data driven order selection for projection estimator of the spectral density of time series with long range dependence
Efficient parameter estimation for self-similar processes
Estimating Long Memory in Volatility
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Fitting long-memory models by generalized linear regression
Gaussian semiparametric estimation of long range dependence
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
Log-periodogram regression of time series with long range dependence
Model selection for broadband semiparametric estimation of long memory in time series
ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
The FEXP estimator for potentially non-stationary linear time series.
The asymptotic theory of linear time-series models
The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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Weak convergence and empirical processes. With applications to statistics

Cited in

(9)

Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
Adaptive estimation of the fractional differencing coefficient
Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
Estimating the mean direction of strongly dependent circular time series
Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
On semiparametric testing of I(\(d\)) by FEXP models
Semiparametric estimation for seasonal long-memory time series using generalized exponential models
Frequency domain bootstrap for ratio statistics under long-range dependence
A generalized fractionally differencing approach in long-memory modeling

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