Estimation of the frequency in cyclical long-memory series

DOI10.1080/00949655.2010.496728MaRDI QIDQ5300759zbMATH OpenOpenAlexFDO

Authors Miguel Artiach, Josu Arteche

Publication date 28 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2010.496728

zbMATH Keywords

frequency domainhidden frequencylong memoryperiodogrampersistent cycle

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

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Cites work

• AN ALTERNATIVE CONSISTENT PROCEDURE FOR DETECTING HIDDEN FREQUENCIES
• Estimating a generalized long memory process
• Estimation of the location and exponent of the spectral singularity of a long memory process
• Gaussian estimation of parametric spectral density with unknown pole
• ON GENERALIZED FRACTIONAL PROCESSES
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Semiparametric inference in seasonal and cyclical long memory processes
• Semiparametric robust tests on seasonal or cyclical long memory time series
• The maximum of the periodogram
• The maximum of the periodogram of a non-Gaussian sequence.

Cited in

(4)

• Asymptotic normality of simultaneous estimators of cyclic long-memory processes
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• A re-examination of the Nile river data based on long memory at the long run and the cyclical frequencies
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series

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