The Periodogram of fractional processes1

DOI10.1111/j.1467-9892.2006.00527.xzbMath1164.62063OpenAlexW2112052334MaRDI QIDQ5430501

Carlos Velasco

Publication date: 16 December 2007

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

Full work available at URL: http://hdl.handle.net/10016/4369

zbMATH Keywords

log-periodogram regressionasymptotic covariancetruncated fractional differences filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• The distance between rival nonstationary fractional processes
• Residual log-periodogram inference for long-run relationships
• Non-stationary log-periodogram regression
• Weak convergence of multivariate fractional processes
• The FEXP estimator for potentially non-stationary linear time series.
• Gaussian estimation of parametric spectral density with unknown pole
• Trend stationarity versus long-range dependence in time series analysis
• The Fractional Unit Root Distribution
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Intrinsic Random Functions and the Paradox of $1/{\text{f}}$ Noise
• On defining long-range dependence
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Consistent Testing of Cointegrating Relationships

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