Semiparametric estimation from time series with long-range dependence

DOI10.1016/0304-4076(94)90068-XzbMath0808.62081OpenAlexW2052742532MaRDI QIDQ1341199

Peter M. Robinson, Bing Cheng

Publication date: 16 March 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90068-x

zbMATH Keywords

long-range dependenceindex modelsnonnormal limiting distributionlong-memory time-series dependencesemiparametric averaged derivative statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Local linear regression estimation for time series with long-range dependence, SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE, Testing for structural change in a long-memory environment, Note on convergence rates of semiparametric estimators of dependence index, A martingale decomposition for quadratic forms of Markov chains (with applications), Long-range dependent time series specification, Multichannel deconvolution with long-range dependence: a minimax study, Minimum normal approximation error bandwidth selection for averaged derivatives., Residual empirical processes for long and short memory time series, Some results on random design regression with long memory errors and predictors, Change-Point Estimation in Long Memory Nonparametric Models with Applications, Wavelet change-point estimation for long memory non-parametric random design models, The smoothing dichotomy in nonparametric regression under long‐memory errors, Nonparametric estimation for dependent data, Wavelet regression in random design with heteroscedastic dependent errors, Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data, Testing for the expected number of exceedances in strongly dependent seasonal time series

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