NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

DOI10.1017/S0266466609990466zbMath1401.62176arXiv0903.3180MaRDI QIDQ3580634

Xiao-Feng Shao

Publication date: 13 August 2010

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

Full work available at URL: https://arxiv.org/abs/0903.3180

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Self-similar stochastic processes (60G18)

Related Items (12)

Unnamed Item ⋮ TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ Long memory and data frequency in financial markets ⋮ On asymptotic distributions of weighted sums of periodograms ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES ⋮ Likelihood inference for discriminating between long‐memory and change‐point models ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Nonstationarity-extended Whittle estimation with discontinuity: a correction ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors

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