Temporal Aggregation and Bandwidth selection in estimating long memory
From MaRDI portal
Publication:3505325
DOI10.1111/j.1467-9892.2007.00533.xzbMath1150.62052OpenAlexW2245800703MaRDI QIDQ3505325
Publication date: 18 June 2008
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10438/874
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
Related Items (5)
Why Aggregate Long Memory Time Series? ⋮ Aggregation of the generalized fractional processes ⋮ Effect of temporal aggregation on multiple time series in the frequency domain ⋮ A new simple test against spurious long memory using temporal aggregation ⋮ Estimation of fractional integration under temporal aggregation
Cites Work
- A comparison of techniques of estimation in long-memory processes.
- A critical look at Lo's modified \(R/S\) statistic.
- Rates of convergence and optimal spectral bandwidth for long range dependence
- The detection and estimation of long memory in stochastic volatility
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Higher-order kernel semiparametric M-estimation of long memory
- Averaged periodogram estimation of long memory
- Robust Automatic Bandwidth for Long Memory
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Long-Term Memory in Stock Market Prices
- Comparing the bias and misspecification in ARFIMA models
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
This page was built for publication: Temporal Aggregation and Bandwidth selection in estimating long memory
