Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

DOI10.1198/016214504000002096zbMath1117.62359OpenAlexW2090191450MaRDI QIDQ5754861

Gabriel Lang, Philippe Soulier, Clifford M. Hurvich

Publication date: 20 August 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/26343

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (9)

Estimators of long-memory: Fourier versus wavelets ⋮ On rate-optimal nonparametric wavelet regression with long memory moving average errors ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Efficiency in estimation of memory ⋮ Local Whittle estimation of the memory parameter in presence of deterministic components ⋮ Estimation of long-range dependence in gappy Gaussian time series ⋮ MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS ⋮ A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS

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