How can we Define the Concept of Long Memory? An Econometric Survey
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Publication:5466754
DOI10.1081/ETC-200067887zbMath1115.62346OpenAlexW2080488131MaRDI QIDQ5466754
Publication date: 25 August 2005
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/etc-200067887
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (20)
Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Some remarks on definitions of memory for stationary random processes and fields ⋮ The stationary seasonal hyperbolic asymmetric power ARCH model ⋮ Statistical inference for stationary linear models with tapered data ⋮ Time varying long memory parameter estimation for locally stationary long memory processes ⋮ Fractional integration versus level shifts: the case of realized asset correlations ⋮ Asymptotics of estimators for nonparametric multivariate regression models with long memory ⋮ Forecasting long memory time series when occasional breaks occur ⋮ An informatic approach to a long memory stationary process ⋮ Kernel type smoothed quantile estimation under long memory ⋮ Nearest neighbors estimation for long memory functional data ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ Memory properties of transformations of linear processes ⋮ Local linear estimation for regression models with locally stationary long memory errors ⋮ The aggregation of dynamic relationships caused by incomplete information ⋮ The nonparametric estimation of long memory spatio-temporal random field models ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Memory parameter estimation for long range dependent random fields ⋮ Asymptotic properties of nonparametric regression for long memory random fields ⋮ Statistical estimation for stationary models with tapered data
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