Detection of long range dependence in the time domain for (in)finite-variance time series

DOI10.1080/02331888.2023.2287749arXiv2204.05608OpenAlexW4389233464MaRDI QIDQ6192199

Albert Rapp, Evgueni Spodarev, Marco Oesting

Publication date: 12 February 2024

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.05608

zbMATH Keywords

time seriesstationary stochastic processeslong range dependencelinear regressionfractional processes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonstationarity-extended local Whittle estimation
• Properties of a block bootstrap under long-range dependence
• Central limit theorems for the excursion set volumes of weakly dependent random fields
• Stein's method on Wiener chaos
• Central limit theorems for non-linear functionals of Gaussian fields
• Time series: theory and methods.
• An introduction to copulas. Properties and applications
• Subsampling
• Variance-type estimation of long memory
• Log-periodogram regression of time series with long range dependence
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Estimating the mean under strong persistence
• Computer-intensive rate estimation, diverging statistics and scanning
• Nonstandard limit theorem for infinite variance functionals
• Stochastic Processes and Long Range Dependence
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• A Class of Antipersistent Processes
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Weak and strong consistency of the least squares estimators in regression models
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Time Series Analysis with Long Memory in View
• Long-Memory Processes
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Harmonically Weighted Processes
• Long range dependence of heavy-tailed random functions
• Long-Range Dependence and Self-Similarity
• Norms of Toeplitz Matrices with Fisher–Hartwig Symbols

This page was built for publication: Detection of long range dependence in the time domain for (in)finite-variance time series