THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

DOI10.1111/J.1467-9892.1983.TB00371.XMaRDI QIDQ3317942zbMATH OpenOpenAlexWikidataFDO

Authors Susan Porter-Hudak, John Geweke

Publication date 1983

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1983.tb00371.x

zbMATH Keywords

asymptotic resultseconomic time seriesestimationfractional differencinggeneral fractional Gaussian noisegeneral integrated serieslong memory time series modelssimple integrated seriessimulation studyspectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Central limit theorems for time series regression
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3598680 (Why is no real title available?)
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• The Fitting of Time-Series Models

Cited in

(only showing first 100 items - show all)

• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• Semiparametric estimation in perturbed long memory series
• A test for fractional cointegration using the sieve bootstrap
• Estimation of fractional integration in the presence of data noise
• Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes
• Estimation of Hurst exponent revisited
• Multivariate modelling of long memory processes with common components
• Wavelet analysis of stock returns and aggregate economic activity
• The role of long memory in hedging effectiveness
• An evolutionary game theory explanation of ARCH effects
• Power-law behaviour, heterogeneity, and trend chasing
• Tests of bias in log-periodogram regression
• On models and methods for Bayesian time series analysis
• Recent developments in time series forecasting
• A comparison of techniques of estimation in long-memory processes.
• Fractal correlation in heterogeneous systems
• Parameter estimation in low order fractionally differenced ARMA processes
• Non-stationary log-periodogram regression
• Stochastic models for fractal processes
• No-cointegration test based on fractional differencing: Some Monte Carlo results
• Some simulations and applications of forecasting long-memory time-series models
• Non-parametric estimation of the long-range dependence exponent for Gaussian processes
• Estimating fractionally integrated time series models
• Long-range dependence in the conditional variance of stock returns
• Continuous-time fractional ARMA processes
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Estimation of the fractionally differencing parameter with the R/S method
• Fractional integration and interval prediction
• A simple test of changes in mean in the possible presence of long-range dependence
• Testing for a break in persistence under long-range dependencies
• Bayesian analysis of long memory and persistence using ARFIMA models
• Note on convergence rates of semiparametric estimators of dependence index
• The detection and estimation of long memory in stochastic volatility
• Long-term dependence in stock returns
• Nonlinear log-periodogram regression for perturbed fractional processes
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Estimating fractional cointegration in the presence of polynomial trends
• Log-periodogram estimation of the memory parameter of a long-memory process under trend.
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• The bias of lag window estimators of the fractional difference parameter.
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• A semiparametric two-step estimator in a multivariate long memory model
• Multivariate wavelet Whittle estimation in long-range dependence
• Robust estimation in long-memory processes under additive outliers
• Broadband log-periodogram regression of time series with long-range dependence
• Extinction risk and the 1/f family of noise models
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Estimating the differencing parameter via the partial autocorrelation function
• Variance-type estimation of long memory
• A simple linear time series model with misleading nonlinear properties
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• An improvement of the GPH estimator.
• Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
• The effect of additive outliers on a fractional unit root test
• A frequency domain test for detecting nonstationary time series
• Modified information criteria and selection of long memory time series models
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Perpetual learning and apparent long memory
• Adjusted blockwise empirical likelihood for long memory time series models
• Inference on the long-memory properties of time series with non-stationary volatility
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• A test of the long memory hypothesis based on self-similarity
• A generalized ARFIMA model with smooth transition fractional integration parameter
• Semi-parametric regression estimation of the tail index
• Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
• Parameter estimation for long-memory stochastic volatility at discrete observation
• Generating univariate fractional integration within a large VAR(1)
• Long memory versus structural breaks: an overview
• The FEXP estimator for potentially non-stationary linear time series.
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• The absolute Gini is a more reliable measure of inequality for time dependent analyses (compared with the relative Gini)
• State space modeling of long-memory processes
• Indirect estimation of ARFIMA and VARFIMA models
• Narrow-band analysis of nonstationary processes
• Determination of cointegrating rank in fractional systems.
• Properties of nonlinear transformations of fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Rescaled variance and related tests for long memory in volatility and levels
• Higher-order kernel semiparametric M-estimation of long memory
• Semiparametric estimation of the long-range parameter
• The simulation of random vector time series with given spectrum
• Testing for structural change in a long-memory environment
• A generalized fractionally differencing approach in long-memory modeling
• A minimum distance estimator for long-memory processes
• Semiparametric exploration of long memory in stock prices
• Fractional differencing and long memory processes
• Long memory processes and fractional integration in econometrics
• Varieties of long memory models
• Long memory continuous time models
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Averaged periodogram estimation of long memory
• Short and long memory in stock returns data
• Long-memory property of nonlinear transformations of break processes
• Normality testing for a long-memory sequence using the empirical moment generating function
• Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context

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