Variance-type estimation of long memory
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Cites work
- scientific article; zbMATH DE number 3649136 (Why is no real title available?)
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 3232036 (Why is no real title available?)
- Averaged periodogram estimation of long memory
- CLT and other limit theorems for functionals of Gaussian processes
- Central limit theorems for non-linear functionals of Gaussian fields
- Convergence of integrated processes of arbitrary Hermite rank
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Log-periodogram regression of time series with long range dependence
- Long-range Dependence: Revisiting Aggregation with Wavelets
- Non-central limit theorems for non-linear functional of Gaussian fields
- Note on convergence rates of semiparametric estimators of dependence index
- PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
- Rates of convergence and optimal spectral bandwidth for long range dependence
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
Cited in
(24)- Orthogonal series density estimation in a disaggregation scheme
- A note on stationary bootstrap variance estimator under long-range dependence
- The variance profile
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Variance bound of ACF estimation of one block of fGn with LRD
- Limit laws in transaction-level asset price models
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Semi-parametric smoothing estimators for long-memory processes with added noise
- One-way analysis of variance with long memory errors and its application to stock return data
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models
- Detection of long range dependence in the time domain for (in)finite-variance time series
- Convex combinations of long memory estimates from different sampling rates
- A wavelet lifting approach to long-memory estimation
- The effect of round-off error on long memory processes
- Inference of bivariate long-memory aggregate time series
- Properties of a block bootstrap under long-range dependence
- Computer-intensive rate estimation, diverging statistics and scanning
- On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion
- From short to long memory: aggregation and estimation
- Long memory estimation for complex-valued time series
- On a general class of long run variance estimators
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