Broadband semi-parametric estimation of long-memory time series by fractional exponential models

DOI10.1111/j.1467-9892.2010.00690.xzbMath1290.62066OpenAlexW1925066176MaRDI QIDQ4979100

Yasumasa Matsuda, Masaki Narukawa

Publication date: 16 June 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00690.x

zbMATH Keywords

long-range dependenceWhittle likelihoodsemi-parametric estimationfractional exponential models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Related Items (4)

Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ On Semiparametric Testing of I(d) by FEXP Models ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models

Uses Software

• Ox

Cites Work

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