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Multiple local Whittle estimation in stationary systems (Q955151)

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Language	Label	Description	Also known as
English	Multiple local Whittle estimation in stationary systems	scientific article

Statements

scholarly article

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Multiple local Whittle estimation in stationary systems (English)

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The Annals of Statistics

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publication date

18 November 2008

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full work available at URL

https://arxiv.org/abs/0811.0948

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zbMATH Keywords

long memory

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phase

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cointegration

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semiparametric estimation

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consistency

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asymptotic normality

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Peter M. Robinson

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MaRDI profile type

MaRDI publication profile

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On large-sample estimation for the mean of a stationary random sequence

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On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process

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Least absolute deviation estimation for all-pass time series models

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Semiparametric estimation of fractional cointegrating subspaces

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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

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Efficient parameter estimation for self-similar processes

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ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Edgeworth expansions for semiparametric Whittle estimation of long memory.

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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A limit theory for long-range dependence and statistical inference on related models

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Root-\(n\)-consistent estimation of weak fractional cointegration

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AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

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Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series

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Estimating Long Memory in Volatility

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Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes

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A semiparametric two-step estimator in a multivariate long memory model

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Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

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A Central Limit Theorem for Multilinear Stochastic Process

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Local Whittle estimation in nonstationary and unit root cases.

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Semiparametric analysis of long-memory time series

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Log-periodogram regression of time series with long range dependence

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Gaussian semiparametric estimation of long range dependence

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ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION

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Narrow-band analysis of nonstationary processes

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Gaussian semiparametric estimation of multivariate fractionally integrated processes

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Exact local Whittle estimation of fractional integration

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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Gaussian Semi‐parametric Estimation of Fractional Cointegration

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Identifiers

zbMATH Open document ID

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10.1214/07-AOS545

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:955151

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