longmemo

swMATH11216CRANlongmemoMaRDI QIDQ23163FDOQ23163

Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality

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Last update: 6 February 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1-2

Source code repository: https://github.com/cran/longmemo

Cited In (only showing first 100 items - show all)

• Behaviour of skewness, kurtosis and normality tests in long memory data
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Compactly supported correlation functions
• Multivariate generalized linear-statistics of short range dependent data
• EWMA control charts for detecting changes in the mean of a long-memory process
• Sign tests for long-memory time series
• A test for additive outliers applicable to long-memory time series
• Local asymptotic normality for regression models with long-memory disturbance
• Estimation of seasonal fractionally integrated processes
• Self-affine time series: Measures of weak and strong persistence.
• Limit theorems for functionals of moving averages
• Estimating the Hurst parameter in financial time series via heuristic approaches
• Nonparametric regression with correlated errors.
• Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors
• On two sample inference for eigenspaces in functional data analysis with dependent errors
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• Estimating the Hurst effect and its application in monitoring clinical trials
• Robust clustering using exponential power mixtures
• On processes with hyperbolically decaying autocorrelations
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• Invariance principles for linear processes with application to isotonic regression
• Wavelet Fisher's information measure of \(1/f^\alpha\) signals
• Wavelet \(q\)-Fisher information for scaling signal analysis
• Filtered log-periodogram regression of long memory processes
• The detection and estimation of long memory in stochastic volatility
• Consistency of the regression estimator with functional data under long memory conditions
• Permutation entropy of fractional Brownian motion and fractional Gaussian noise
• Asymptotics for statistical functionals of long-memory sequences
• Discrete time parametric models with long memory and infinite variance
• Why is equity order flow so persistent?
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Semiparametric estimation of spatial long-range dependence
• The integrated periodogram for long-memory processes with finite or infinite variance
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Change-point detection with rank statistics in long-memory time-series models
• Parametric Inference in Stationary Time Series Models with Dependent Errors
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
• Martingale approximations for sums of stationary processes.
• Martingale transforms and Girsanov theorem for long-memory Gaussian processes
• A frequency domain empirical likelihood for short- and long-range dependence
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Long memory versus structural breaks: an overview
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• AR and MA representation of partial autocorrelation functions, with applications
• Explicit representation of finite predictor coefficients and its applications
• Applied Econometrics with R
• Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies
• On estimation of mean and covariance functions in repeated time series with long-memory errors
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• Study of on-line measurement of traffic self-similarity
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• memochange
• LongMemoryTS
• A simple test of changes in mean in the possible presence of long-range dependence
• Change-in-mean problem for long memory time series models with applications
• The effect of long-range dependence on change-point estimators
• How efficiency shapes market impact
• gmwmx
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Computer-intensive rate estimation, diverging statistics and scanning
• LASS: a tool for the local analysis of self-similarity
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Fractals with point impact in functional linear regression
• Long-Memory Processes
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Testing and estimating for change in long memory parameter
• A fractional stochastic evolution equation driven by fractional Brownian motion
• Discriminating between long-range dependence and non-stationarity
• There's more to volatility than volume
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Gradual changes in long memory processes with applications
• Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps
• Long memory and regime switching
• Change-of-variance problem for linear processes with long memory
• Moment-based tail index estimation
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Perpetual learning and apparent long memory
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
• On asymptotically optimal wavelet estimation of trend functions under long-range dependence
• LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
• Nonparametric estimation of conditional medians for linear and related processes
• mBm-based scalings of traffic propagated in internet
• Fractional Laplace motion
• Asymptotic optimal designs under long-range dependence error structure
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes
• Variance bound of ACF estimation of one block of fGn with LRD
• Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
• Gaussian copulas in triplet, partially Markov chains

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