Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
From MaRDI portal
Cites work
- A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
- Alternative forms of fractional Brownian motion
- An exponential model for the spectrum of a scalar time series
- Approximate state space modelling of unobserved fractional components
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Efficiency improvements in inference on stationary and nonstationary fractional time series
- Estimation of long-memory time series models: a survey of different likelihood-based methods
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 1881986 (Why is no real title available?)
- scientific article; zbMATH DE number 6193733 (Why is no real title available?)
- Long‐Memory Time Series
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Realized Volatility and Long Memory: An Overview
- Rough volatility: fact or artefact?
- Semiparametric estimation of fractional cointegrating subspaces
- State space modeling of long-memory processes
- The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
- Time series analysis by state space methods.
- Time series analysis with long memory in view
- Trends in distributional characteristics: existence of global warming
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Volatility is rough
- When long memory meets the Kalman filter: a comparative study
This page was built for publication: Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7229838)
