Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence

DOI10.1111/1467-9892.00181zbMath0958.62091OpenAlexW2135494809MaRDI QIDQ2703255

Philippe Soulier, Eric Moulines

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00181

zbMATH Keywords

asymptotic optimalitylog periodogram regressionadaptive dimension selectionprojective estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Estimation of the memory parameter by fitting fractionally differenced autoregressive models ⋮ Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Semiparametric estimation for seasonal long-memory time series using generalized exponential models ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ Broadband log-periodogram regression of time series with long-range dependence ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

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