The effect of tapering on the semiparametric estimators for nonstationary long memory processes
From MaRDI portal
Publication:840964
DOI10.1007/S00362-007-0071-6zbMATH Open1309.62067OpenAlexW2015131032MaRDI QIDQ840964FDOQ840964
Mohamed Boutahar, Leïla Nouira, Vêlayoudom Marimoutou
Publication date: 14 September 2009
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0071-6
Recommendations
- Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
- Semiparametric estimation in perturbed long memory series
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- A semiparametric two-step estimator in a multivariate long memory model
- Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
- Comparative evaluation of semiparametric long-memory estimators
- RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
- Nonparametric estimation under long memory dependence
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Title not available (Why is that?)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- An Algorithm for the Machine Calculation of Complex Fourier Series
- On a measure of lack of fit in time series models
- Semiparametric analysis of long-memory time series
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Averaged periodogram estimation of long memory
- An efficient taper for potentially overdifferenced long-memory time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- An analysis of variance test for normality (complete samples)
- Non-stationary log-periodogram regression
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Two estimators of the long-run variance: beyond short memory
- Long-range dependence in the conditional variance of stock returns
- Spectrum estimation with missing observations
- Title not available (Why is that?)
- Large-sample properties of the periodogram estimator of seasonally persistent processes
- Title not available (Why is that?)
Cited In (5)
- Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
- Statistical estimation for stationary models with tapered data
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- Bootstrapping regression models with locally stationary disturbances
- Detecting fuzzy periodic patterns in futures spreads
Uses Software
This page was built for publication: The effect of tapering on the semiparametric estimators for nonstationary long memory processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q840964)
