Semi-parametric smoothing estimators for long-memory processes with added noise

DOI10.1016/S0378-3758(01)00275-0zbMath1009.62075OpenAlexW2016045725WikidataQ57710968 ScholiaQ57710968MaRDI QIDQ1611815

Bonnie K. Ray, Nuno Crato

Publication date: 28 August 2002

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(01)00275-0

zbMATH Keywords

tablesstochastic volatilityARFIMAlong-memoryspectral regressionR/S analysisLMSV model

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models ⋮ Temporal Aggregation and Bandwidth selection in estimating long memory ⋮ A new model for explaining long-range correlations in human time interval production ⋮ Why Aggregate Long Memory Time Series? ⋮ Statistical properties of detrended fluctuation analysis ⋮ Semiparametric estimation in perturbed long memory series

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