Broadband semi-parametric estimation of long-memory time series by fractional exponential models
DOI10.1111/J.1467-9892.2010.00690.XzbMATH Open1290.62066OpenAlexW1925066176MaRDI QIDQ4979100FDOQ4979100
Authors: Masaki Narukawa, Yasumasa Matsuda 
Publication date: 16 June 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00690.x
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Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)
Cites Work
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- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- Fitting long-memory models by generalized linear regression
- Estimating Long Memory in Volatility
- Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
- Data driven order selection for projection estimator of the spectral density of time series with long range dependence
- Estimation of the memory parameter by fitting fractionally differenced autoregressive models
Cited In (9)
- Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
- 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
- On semiparametric testing of I(\(d\)) by FEXP models
- Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential 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
- Adaptive estimation of the fractional differencing coefficient
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