Estimation of cyclic long-memory parameters

DOI10.1111/SJOS.12404MaRDI QIDQ5108974zbMATH OpenOpenAlexFDO

Authors Huda Mohammed Alomari, Antoine Ayache, Myriam Fradon, Andriy Olenko

Publication date 7 May 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12404

zbMATH Keywords

filterstochastic processwavelet transformationseasonal/cyclic long memoryestimators of parametersGegenbauer-type spectral densities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15) General theory of stochastic processes (60G07)

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Cited in

(17)

• Limit theorems for filtered long-range dependent random fields
• STATISTICAL ANALYSIS OF LONG-RANGE DEPENDENT RANDOM PROCESSES AND FIELDS
• A cyclic stastistics-based parametric approach to time-delay estimation
• Marginal density estimation for linear processes with cyclical long memory
• Estimation methods for stationary Gegenbauer processes
• Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
• A harmonically weighted filter for cyclical long memory processes
• Estimating a generalized long memory process
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Asymptotic normality of simultaneous estimators of cyclic long-memory processes
• Stochastic modelling and statistical analysis of spatial and long-range dependent data
• Simulated Hellinger disparity estimation of a cyclical long memory process
• Inference for estimators of generalized long memory processes
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• A re-examination of the Nile river data based on long memory at the long run and the cyclical frequencies
• Estimation of the frequency in cyclical long-memory series

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