A frequency domain bootstrap for Whittle estimation under long-range dependence
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Publication:1941455
DOI10.1016/j.jmva.2012.10.018zbMath1259.62084OpenAlexW2028720452MaRDI QIDQ1941455
Young Min Kim, Daniel J. Nordman
Publication date: 12 March 2013
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.10.018
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15) Bootstrap, jackknife and other resampling methods (62F40)
Related Items (7)
A note on stationary bootstrap variance estimator under long-range dependence ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Consistency of the frequency domain bootstrap for differentiable functionals ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
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