An efficient estimator for locally stationary Gaussian long-memory processes

DOI10.1214/10-AOS812zbMath1200.62109arXiv1011.2607OpenAlexW3100166644MaRDI QIDQ605935

Wilfredo Palma, Ricardo A. Olea

Publication date: 15 November 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2607

zbMATH Keywords

consistencyasymptotic normalityefficiencylong-range dependencenonstationaritylocal stationarityWhittle estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Related Items

Inference on the long-memory properties of time series with non-stationary volatility ⋮ Discriminating between long-range dependence and non-stationarity ⋮ An efficient estimator for locally stationary Gaussian long-memory processes ⋮ Bootstrapping regression models with locally stationary disturbances ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ A test for stationarity based on empirical processes ⋮ Simultaneous quantile inference for non-stationary long-memory time series ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ Statistical analysis of autoregressive fractionally integrated moving average models in R ⋮ Estimation of slowly time-varying trend function in long memory regression models ⋮ Testing for white noise against locally stationary alternatives ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes ⋮ Minimum distance estimation of locally stationary moving average processes

Uses Software

• longmemo

Cites Work

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