Filtered log-periodogram regression of long memory processes
type: Item
instance of: scholarly article
title: Filtered log-periodogram regression of long memory processes
zbMATH Open document ID: 1211.62164
DOI: 10.1080/15598608.2009.10411959
author: Yuanhua Feng
author: Jan Beran
published in: Journal of Statistical Theory and Practice
publication date: 2011-04-18T00:00:00Z
full work available at URL: urn:nbn:de:bsz:352-opus-116770
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M15
zbMATH DE Number: 5879688
zbMATH Keywords: filtering
zbMATH Keywords: log-periodogram regression
zbMATH Keywords: local pre-whitening
zbMATH Keywords: fractional differencing parameter
zbMATH Keywords: long memory
describes a project that uses: longmemo
MaRDI profile type: Publication
OpenAlex ID: W2033254222
cites work: Q4865042
cites work: On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
cites work: Q3252517
cites work: Efficient parameter estimation for self-similar processes
cites work: Q4884570
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
cites work: A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
cites work: ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
cites work: AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
cites work: The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
cites work: Discrimination between monotonic trends and long-range dependence
cites work: Q3323077
cites work: Semiparametric analysis of long-memory time series
cites work: Log-periodogram regression of time series with long range dependence
cites work: Pooled Log Periodogram Regression
cites work: Non-stationary log-periodogram regression
description: scientific article; zbMATH DE number 5879688