Inference for estimators of generalized long memory processes
DOI10.1080/03610918.2021.2007399OpenAlexW4206236881MaRDI QIDQ6204970FDOQ6204970
Authors: Paul Beaumont, Aaron D. Smallwood 
Publication date: 11 April 2024
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2021.2007399
Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)
Cites Work
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Efficient Tests of Nonstationary Hypotheses
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- ON GENERALIZED FRACTIONAL PROCESSES
- Asymptotic normality of simultaneous estimators of cyclic long-memory processes
- Estimation of the location and exponent of the spectral singularity of a long memory process
- Estimation of cyclic long-memory parameters
- Semiparametric estimation for stationary processes whose spectra have an unknown pole
- Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Fractionally differenced Gegenbauer processes with long memory: a review
- Estimation of time-varying long memory parameter using wavelet method
- Exact local Whittle estimation in long memory time series with multiple poles
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- The \(k\)-factor GARMA process with infinite variance innovations
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
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