longmemo
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Software:23163
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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