Adaptive semiparametric estimation of the memory parameter.

DOI10.1006/jmva.1999.1865zbMath1065.62513OpenAlexW2012897179MaRDI QIDQ1975523

Yanyan Li

Publication date: 2000

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1999.1865

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (13)

Nonstationarity-extended local Whittle estimation ⋮ Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes ⋮ Edgeworth expansions for semiparametric Whittle estimation of long memory. ⋮ Using the bootstrap for finite sample confidence intervals of the log periodogram regression ⋮ ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING ⋮ The FEXP estimator for potentially non-stationary linear time series. ⋮ Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes ⋮ Bootstrap-based bandwidth choice for log-periodogram regression ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ Semiparametric estimation in perturbed long memory series ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

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