ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM

DOI10.1111/j.1467-9892.1996.tb00269.xzbMath0845.62059OpenAlexW2042565838MaRDI QIDQ4881704

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Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00269.x

zbMATH Keywords

robustnessasymptotic normalitytime serieslong-range dependencestationary processtrendsHurst indexshort-range dependencedeparture from stationaritysmoothed periodogram approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (12)

Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ Statistical inference for stationary linear models with tapered data ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ Robust estimation for continuous-time linear models with memory ⋮ Wavelet-domain test for long-range dependence in the presence of a trend ⋮ Log-periodogram estimation of the memory parameter of a long-memory process under trend. ⋮ Long memory and stochastic trend. ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory ⋮ On discriminating between long-range dependence and changes in mean ⋮ Local Whittle estimation of the memory parameter in presence of deterministic components ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter ⋮ Statistical estimation for stationary models with tapered data

Cites Work

• Unnamed Item
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• On asymptotic quasi-likelihood estimation
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• The Hurst effect under trends
• On a class of random field models which allows long range dependence
• Discrimination between monotonic trends and long-range dependence

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