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
Official website: http://cran.r-project.org/web/packages/longmemo/index.html
Source code repository: https://github.com/cran/longmemo
Cited In (only showing first 100 items - show all)
- Refined Inference on Long Memory in Realized Volatility
- 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
- 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
- The Volatility of Realized Volatility
- A test for additive outliers applicable to long-memory time series
- Estimation of seasonal fractionally integrated processes
- Estimating the Hurst parameter in financial time series via heuristic approaches
- 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
- Nonparametric estimation under long memory dependence
- 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
- Estimating the Hurst effect and its application in monitoring clinical trials
- On processes with hyperbolically decaying autocorrelations
- 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
- Identification of a nonparametric signal under strongly dependent random noise
- Permutation entropy of fractional Brownian motion and fractional Gaussian noise
- Asymptotics for statistical functionals of long-memory sequences
- Statistical delay analysis on an ATM switch with self-similar input traffic
- Bayesian inference on the memory parameter for gamma-modulated regression models
- A complete asymptotic series for the autocovariance function of a long memory process
- Econometric estimation in long-range dependent volatility models: theory and practice
- Periodogram estimates in nonlinear regression models with long-range dependent noise
- Testing joint hypotheses when one of the alternatives is one-sided
- 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
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- The integrated periodogram for long-memory processes with finite or infinite variance
- Fractional order estimation schemes for fractional and integer order systems with constant and variable fractional order colored noise
- Approximation of the Rosenblatt sheet
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- Central limit theorem for linear processes with infinite variance
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Synthesis of multifractional Gaussian noises based on variable-order fractional operators
- A class of negatively fractal dimensional Gaussian random functions
- 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.
- Fractional motions
- Martingale transforms and Girsanov theorem for long-memory Gaussian processes
- Estimation of the regression operator from functional fixed-design with correlated errors
- Forecasting time series with sieve bootstrap
- 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
- Variations and estimators for self-similarity parameters via Malliavin calculus
- AR and MA representation of partial autocorrelation functions, with applications
- Explicit representation of finite predictor coefficients and its applications
- 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
- On Koul's minimum distance estimators in the regression models with long memory moving averages.
- How efficiency shapes market impact
- Consistent order selection with strongly dependent data and its application to efficient estimation.
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Computer-intensive rate estimation, diverging statistics and scanning
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Quantum systems for Monte Carlo methods and applications to fractional stochastic processes
- Data driven smooth test of comparison for dependent sequences
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Estimating stochastic volatility: the rough side to equity returns
- A wavelet-based Bayesian approach to regression models with long memory errors and its application to fMRI data
- Separable solutions for Markov processes in random environments
- On estimating the cumulant generating function of linear processes
- Wavelet deconvolution in a periodic setting with long-range dependent errors
- Power spectrum of generalized fractional Gaussian noise
- Accumulative prediction error and the selection of time series models
- Bias Correction of Persistence Measures in Fractionally Integrated Models
- Long memory and self-similar processes
- A fractional stochastic evolution equation driven by fractional Brownian motion
- There's more to volatility than volume
- Multichannel deconvolution with long range dependence: upper bounds on the \(L^p\)-risk \((1 \leq p < \infty)\)
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
- Multichannel deconvolution with long-range dependence: a minimax study
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Concept of dynamic memory in economics
- Ruin problem and how fast stochastic processes mix
- From infinite urn schemes to self-similar stable processes
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Long-range dependent time series specification
- A note on filtering for long memory processes
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Rank-based change-point analysis for long-range dependent time series
- Investigation of cumulative growth process via Fibonacci method and fractional calculus
- Sensitivity of the Hermite rank
- Wavelet variance analysis for gappy time series
- Hurst exponent estimation of fractional surfaces for mammogram images analysis
- Randomized Fixed Design Regression under Long-Range-Dependent Errors
- Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
- The tenth Vilnius conference on probability theory and mathematical statistics. II
- Simultaneous estimation of deterministic and fractal stochastic components in non-stationary time series
- Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors
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