Robust automatic bandwidth for long memory

DOI10.1111/1467-9892.00225MaRDI QIDQ2740037zbMATH OpenOpenAlexFDO

Authors Marc Henry

Publication date 16 September 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00225

zbMATH Keywords

conditional heteroscedasticitylong memoryoptimal bandwidth

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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(23)

• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
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• Modified information criteria and selection of long memory time series models
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• Long memory or structural changes: an empirical examination on inflation rates
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• A piecewise polynomial trend against long range dependence
• On the estimation of short memory components in long memory time series models
• Local Whittle estimation of fractional integration for nonlinear processes
• A fixed-b test for a break in level at an unknown time under fractional integration
• Bootstrap-based bandwidth choice for log-periodogram regression
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• Temporal Aggregation and Bandwidth selection in estimating long memory
• Why Aggregate Long Memory Time Series?
• LONG MEMORY TESTING IN THE TIME DOMAIN
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• Semiparametric inference and bandwidth choice under long memory: experimental evidence
• Semiparametric detection of changes in long range dependence
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• Local Whittle estimation in time-varying long memory series
• Nonparametric detection of a time-varying mean
• Testing for bubbles and change-points

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