State space modeling of long-memory processes
From MaRDI portal
Recommendations
- When long memory meets the Kalman filter: a comparative study
- State space estimation for long memory AFRIMA-GARCH models
- A note on filtering for long memory processes
- State space modeling of Gegenbauer processes with long memory
- Estimation of long-memory time series models: a survey of different likelihood-based methods
Cites work
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- Efficient parameter estimation for self-similar processes
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 3820911 (Why is no real title available?)
- scientific article; zbMATH DE number 192852 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- The asymptotic theory of linear time-series models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Time series: theory and methods.
Cited in
(52)- Assessing influence in Gaussian long-memory models
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- A note on filtering for long memory processes
- Long memory with stochastic variance model: a recursive analysis for US inflation
- When long memory meets the Kalman filter: a comparative study
- Realized stochastic volatility with leverage and long memory
- Fractionally differenced Gegenbauer processes with long memory: a review
- State space modeling of Gegenbauer processes with long memory
- Spatio-temporal analysis with short- and long-memory dependence: a state-space approach
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- A regularised estimator for long-range dependent processes
- The ARMA alphabet soup: a tour of ARMA model variants
- Estimation methods for stationary Gegenbauer processes
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Minimum distance estimation of ARFIMA processes
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Bayesian estimation of common long-range dependent models
- Fitting non-Gaussian persistent data
- State space estimation for long memory AFRIMA-GARCH models
- Long-range dependence and approximate Bayesian computation
- Bayesian methods for change-point detection in long-range dependent processes
- Miscellanea. Time series with additive noise
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- scientific article; zbMATH DE number 605162 (Why is no real title available?)
- LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
- Long memory stochastic volatility : A bayesian approach
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Analysis of the correlation structure of square time series
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Level-crossing probabilities and first-passage times for linear processes
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
- Approximate state space modelling of unobserved fractional components
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Multistep ahead forecasting of vector time series
- Estimation and forecasting of long memory stochastic volatility models
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- Long memory conditional random fields on regular lattices
- Bayesian inference for long memory term structure models
- Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
- Long-term trends of US county-level extreme ozone concentrations with long memory and changepoint considerations
- Fast approximate likelihood evaluation for stable VARFIMA processes
- Long memory affine term structure models
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Estimation of seasonal fractionally integrated processes
This page was built for publication: State space modeling of long-memory processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1807089)
