LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES

DOI10.1017/S0266466607070387zbMath1274.62566MaRDI QIDQ2886971

Wei-Biao Wu, Xiao-Feng Shao

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items

Inference for change points in high-dimensional data via selfnormalization, A bootstrap approximation for the distribution of the local Whittle estimator, Local asymptotic powers of nonparametric and semiparametric tests for fractional integration, Adaptive Inference for Change Points in High-Dimensional Data, The effect of round-off error on long memory processes, On asymptotic distributions of weighted sums of periodograms, Whittle-type estimation under long memory and nonstationarity, Asymptotic spectral theory for nonlinear time series, Strong invariance principles for dependent random variables, Efficient tapered local Whittle estimation of multivariate fractional processes, Memory properties of transformations of linear processes, Exact local Whittle estimation of fractionally cointegrated systems, NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION, A simple test of changes in mean in the possible presence of long-range dependence, LLN for quadratic forms of long memory time series and its applications in random matrix theory, Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain, A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter, EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

Cites Work

• The distance between rival nonstationary fractional processes
• Local Whittle estimation of fractional integration and some of its variants
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Non-stationary log-periodogram regression
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• A model for long memory conditional heteroscedasticity.
• Local Whittle estimation in nonstationary and unit root cases.
• On linear processes with dependent innovations
• Exact local Whittle estimation of fractional integration
• Robust Automatic Bandwidth for Long Memory
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistent estimation of the memory parameter for nonlinear time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Limit theorems for iterated random functions
• Nonlinear system theory: Another look at dependence
• Estimating Long Memory in Volatility
• Central limit theorems for time series regression
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration