A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes

DOI10.1080/00949655.2014.904070zbMath1457.62276arXiv1205.0824OpenAlexW2963485947MaRDI QIDQ5220830

Guilherme Pumi, Sílvia R. C. Lopes

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0824

zbMATH Keywords

semiparametric estimationfractional integrationlong-range dependencesmoothed periodogramtapered periodogramVARFIMA processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A semiparametric two-step estimator in a multivariate long memory model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Invariance of the first difference in ARFIMA models
• Exact local Whittle estimation of fractional integration
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• SPECTRAL ANALYSIS WITH TAPERED DATA
• A wavelet-Fisz approach to spectrum estimation
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Local Whittle estimation of multi-variate fractionally integrated processes

This page was built for publication: A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes