Semiparametric estimation for seasonal long-memory time series using generalized exponential models

DOI10.1016/j.jspi.2008.09.011zbMath1247.62224OpenAlexW2019993402MaRDI QIDQ1011539

Henghsiu Tsai, Nan-Jung Hsu

Publication date: 8 April 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.09.011

zbMATH Keywords

long-range dependencelog periodogram regressionGegenbauer frequency

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Inference of seasonal long-memory aggregate time series ⋮ On a class of minimum contrast estimators for Gegenbauer random fields ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ A general frequency domain estimation method for Gegenbauer processes ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models ⋮ Testing unit roots and long range dependence of foreign exchange ⋮ Estimation methods for stationary Gegenbauer processes

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