Nonparametric frequency domain analysis of nonstationary multivariate time series

DOI10.1016/S0378-3758(02)00235-5zbMath1020.62088OpenAlexW2079284115MaRDI QIDQ1400133

Carlos Velasco

Publication date: 13 August 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00235-5

zbMATH Keywords

coherencesemiparametric estimationlong memorylong-range dependencespectral densityfractional cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Spectral analysis of fractionally cointegrated systems ⋮ An I(\(d\)) model with trend and cycles ⋮ Extreme Spectra of Var Models and Orders of Near‐Cointegration ⋮ A comparison of semiparametric tests for fractional cointegration

Uses Software

• longmemo

Cites Work

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