Estimation of the frequency in cyclical long-memory series

DOI10.1080/00949655.2010.496728zbMath1431.62432OpenAlexW2145474481MaRDI QIDQ5300759

Josu Arteche, Miguel Artiach

Publication date: 28 June 2013

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

Full work available at URL: https://doi.org/10.1080/00949655.2010.496728

zbMATH Keywords

frequency domainlong memoryperiodogrampersistent cyclehidden frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Asymptotic normality of simultaneous estimators of cyclic long-memory processes

Cites Work

• The maximum of the periodogram
• The maximum of the periodogram of a non-Gaussian sequence.
• Gaussian estimation of parametric spectral density with unknown pole
• Estimating a generalized long memory process
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• AN ALTERNATIVE CONSISTENT PROCEDURE FOR DETECTING HIDDEN FREQUENCIES
• ON GENERALIZED FRACTIONAL PROCESSES
• Semiparametric robust tests on seasonal or cyclical long memory time series
• Estimation of the location and exponent of the spectral singularity of a long memory process

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