Efficiency in estimation of memory

DOI10.1016/J.JSPI.2010.04.046MaRDI QIDQ993829zbMATH OpenOpenAlexFDO

Authors Willa W. Chen

Publication date 20 September 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.04.046

zbMATH Keywords

taperingperiodogramGaussian semiparametric estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Adaptive semiparametric estimation of the memory parameter.
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• An efficient taper for potentially overdifferenced long-memory time series

Cites work

• scientific article; zbMATH DE number 4102338 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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• scientific article; zbMATH DE number 3320071 (Why is no real title available?)
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• Exact local Whittle estimation of fractional integration
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
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• Nonstationarity-extended local Whittle estimation
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect
• The distance between rival nonstationary fractional processes
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Cited in

(4)

• How Efficient Can Memory Checking Be?
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Edgeworth expansions for semiparametric Whittle estimation of long memory.

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