Temporal Aggregation and Bandwidth selection in estimating long memory

DOI10.1111/J.1467-9892.2007.00533.XMaRDI QIDQ3505325zbMATH OpenOpenAlexFDO

Authors Leonardo Rocha Souza

Publication date 18 June 2008

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

Full work available at URL http://hdl.handle.net/10438/874

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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• Temporal aggregation in a periodically integrated autoregressive process
• Asymptotic behavior of temporal aggregates in the frequency domain

Cites work

• A comparison of techniques of estimation in long-memory processes.
• A critical look at Lo's modified \(R/S\) statistic.
• Averaged periodogram estimation of long memory
• Comparing the bias and misspecification in ARFIMA models
• Higher-order kernel semiparametric M-estimation of long memory
• Long-Term Memory in Stock Market Prices
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Robust automatic bandwidth for long memory
• Semi-parametric smoothing estimators for long-memory processes with added noise
• The detection and estimation of long memory in stochastic volatility
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Cited in

(7)

• Estimation of fractional integration under temporal aggregation
• THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
• Why Aggregate Long Memory Time Series?
• Spectral properties of temporally aggregated long memory processes
• A new simple test against spurious long memory using temporal aggregation
• Aggregation of the generalized fractional processes
• Effect of temporal aggregation on multiple time series in the frequency domain

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