Local Whittle estimation of multi-variate fractionally integrated processes

DOI10.1111/j.1467-9892.2010.00702.xzbMath1290.62085OpenAlexW3126093639MaRDI QIDQ4979113

Frank S. Nielsen

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/17453890/rp09_38.pdf

zbMATH Keywords

fractional integrationlong memoryexchange rateslocal Whittlemulti-variate semi-parametric estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (11)

DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Multivariate Hadamard self-similarity: testing fractal connectivity ⋮ Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators

Cites Work

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