Inference for estimators of generalized long memory processes

DOI10.1080/03610918.2021.2007399OpenAlexW4206236881MaRDI QIDQ6204970

Aaron D. Smallwood, Paul M. Beaumont

Publication date: 11 April 2024

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.2007399

zbMATH Keywords

parametric bootstrapWhittle estimatorGARMACSS estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

Cites Work

• Fractionally differenced Gegenbauer processes with long memory: a review
• Asymptotic normality of simultaneous estimators of cyclic long-memory processes
• Cointegrated dynamics for a generalized long memory process: application to interest rates
• A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Thek-factor GARMA Process with Infinite Variance Innovations
• Estimation of Time-Varying Long Memory Parameter Using Wavelet Method
• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• Efficient Tests of Nonstationary Hypotheses
• Estimation of the location and exponent of the spectral singularity of a long memory process
• Estimation of cyclic long‐memory parameters
• A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
• Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries

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