Filtered log-periodogram regression of long memory processes

DOI10.1080/15598608.2009.10411959zbMath1211.62164OpenAlexW2033254222MaRDI QIDQ715791

Jan Beran, Yuanhua Feng

Publication date: 18 April 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116770

zbMATH Keywords

filteringlong memorylog-periodogram regressionfractional differencing parameterlocal pre-whitening

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient parameter estimation for self-similar processes
• Non-stationary log-periodogram regression
• Semiparametric analysis of long-memory time series
• Log-periodogram regression of time series with long range dependence
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Discrimination between monotonic trends and long-range dependence
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• Pooled Log Periodogram Regression

This page was built for publication: Filtered log-periodogram regression of long memory processes