Time varying long memory parameter estimation for locally stationary long memory processes
From MaRDI portal
Publication:5078131
DOI10.1080/03610926.2018.1472777OpenAlexW2899018032WikidataQ129017489 ScholiaQ129017489MaRDI QIDQ5078131
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1472777
locally stationary long memory processlocal Whittle estimatorGPH estimatortime varying long memory parameter
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nonstationarity-extended local Whittle estimation
- Locally stationary long memory estimation
- Identification of multifractional Brownian motion
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- On the sample mean of locally stationary long-memory processes
- On parameter estimation for locally stationary long-memory processes
- The multiple change-points problem for the spectral distribution
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- On the Kullback-Leibler information divergence of locally stationary processes
- Estimators of long-memory: Fourier versus wavelets
- Consistent estimation of the memory parameter for nonlinear time series
- Bayesian methods for change-point detection in long-range dependent processes
- Long‐Memory Time Series
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Non-central limit theorems for non-linear functional of Gaussian fields
- Long-Memory Processes
- Inference on fractal processes using multiresolution approximation
- How can we Define the Concept of Long Memory? An Econometric Survey
This page was built for publication: Time varying long memory parameter estimation for locally stationary long memory processes
