Local Whittle estimation of the memory parameter in presence of deterministic components

DOI10.1111/j.1467-9892.2009.00638.xzbMath1224.62057OpenAlexW2098338131MaRDI QIDQ3077674

Fabrizio Iacone

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00638.x

zbMATH Keywords

persistencelong memorydeterministic trendbreak

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (14)

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Cites Work

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• Tests for Hurst effect
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• Testing for long memory in the presence of a general trend
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
• Long memory and regime switching

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