Estimating long-range dependence in the presence of periodicity: An empirical study
From MaRDI portal
(Redirected from Publication:699423)
Recommendations
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Periodogram estimates in nonlinear regression models with long-range dependent noise
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- \(M\)-periodogram for the analysis of long-range-dependent time series
- scientific article; zbMATH DE number 1301878
- Estimation of long-range dependence in gappy Gaussian time series
- Time Domain Estimation of Long Range Dependence
- Detecting long-range dependence in non-stationary time series
- Log-periodogram regression of time series with long range dependence
Cites work
- scientific article; zbMATH DE number 4047369 (Why is no real title available?)
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A test of location for data with slowly decaying serial correlations
- Approach to an irregular time series on the basis of the fractal theory
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Gaussian semiparametric estimation of long range dependence
- Limit theorems on the self-normalized range for weakly and strongly dependent processes
- Long memory processes and fractional integration in econometrics
- Modeling volatility persistence of speculative returns: a new approach
- Robustness of whittle-type estimators for time series with long-range dependence
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
Cited in
(15)- scientific article; zbMATH DE number 1301878 (Why is no real title available?)
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- Healthy versus congestive heart failure patients -- an approach via the Hurst parameter
- Testing for long range dependence in banking equity indices
- A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
- Testing for long-range dependence in the Brazilian term structure of interest rates
- A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular \(\mathbb{Z}^d\)-actions
- Abductive learning of quantized stochastic processes with probabilistic finite automata
- Time-varying long-range dependence in US interest rates
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- Fractional Brownian motion: difference iterative forecasting models
- Impact of the periodicity and trend on the FD parameter estimation
This page was built for publication: Estimating long-range dependence in the presence of periodicity: An empirical study
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q699423)
