129
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Time varying long memory parameter estimation for locally stationary long memory processes

Pages 2529-2547 | Received 28 Dec 2016, Accepted 23 Apr 2018, Published online: 29 Oct 2018

References

  • Abadir, K. M., W. Distaso, and L. Giraitis. 2007. Nonstationarity-extended local Whittle estimation. Jounral of Econometrics 141:1353–84.
  • Beran, J. 1994. Statistics for long-memory processes. New York: Chapman and Hall.
  • Beran, J. 2009. On parameter estimation for locally stationary long-memory processes. Journal of Statistical Planning Inference 139:900–15.
  • Beran, J., Y. Feng, S. Ghosh, and R. Kulik. 2013. Long-memory processes. Probabilistic properties and statistical methods. Heidelberg: Springer.
  • Beran, J., R. Herman, M. S. Taqqu, and W. Willinger. 1995. Long-range dependence in variable-bit-rate video traffic. IEEE Transaction on Communication 43:1566–79.
  • Coeurjolly, J. F. 2005. Identification of multifractional Brownian motion. Bernoulli 11:987–1008.
  • Dahlhaus, R. 1996. On the Kullback–Leibler information divergence of locally stationary processes. Stochastic Processes and their Applications 62:139–68.
  • Dalla, V., L. Giraitis, and J. Hidalgo. 2006. Consistent estimation of the memory parameter for nonlinear time series. Journal of Time Series Analysis 27:211–51.
  • Dobrushin, R. L., and P. Major. 1979. Non-central limit theroems for non-liear functions of Gaussian fields. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 50:27–52.
  • Doukhan, P., G. Oppenheim, and M. S. Taqqu. 2003. Theory and applications of long-range dependence. Boston, MA: Birkhäuser.
  • Falconer, K., and C. Fernandez. 2007. Inference on fractal processes using multiresolution approximation. Biometrika 94:313–34.
  • Fay, G., E. Moulines, F. Roueff, and M. S. Taqqu. 2009. Estimators of long-memory: Fourier versus wavelets. Journal of Econometrics 151:159–77.
  • Giraitis, L., H. L. Koul, and D. Surgailis. 2012. Large sample inference for long memory processes. London: Imperial College Press.
  • Granger, C. W., and N. Hyung. 2004. Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance 11:399–421.
  • Guégan, D. 2005. How can we define the concept of long memory? An econometric survey. Econometric Review 24:113–49.
  • Hurvich, C. M., R. Deo, and J. Brodsky. 1998. The mean squared error of Geweke and Porter-Hudak’s estimator of a long-memory time series. Journal of Time Series Analysis 19:19–46.
  • Lavielle, M., and C. Ludena. 2000. The multiple change-points problem for the spectral distribution. Bernoulli 6:845–69.
  • Moulines, E., F. Roueff, and M.S. Taqqu. 2007. On the spectral density of the wavelet coefficients of long memory time series with application to the log-regression estimation of the memory parameter. Journal of Time Series Analysis 28:155–87.
  • Moulines, E., F. Roueff, and M.S. Taqqu. 2008. A wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series. Annals of Statistics 36:1925–56.
  • Palma, W. 2007. Long-memory time series. Theory and methods. In: Wiley Series in Probability and Statistics. Hoboken, NJ: Wiley-Interscience, John Wiley and Sons.
  • Palma, W. 2010. On the sample mean of locally stationary long-memory processes. Journal of Statistical Planning Inference 140:3764–74.
  • Ray, B. K., and R. S. Tsay. 2002. Bayesian methods for change-point detection in long-range dependent processes. Journal of Time Series Analysis 23:687–705.
  • Robinson, P. M. 1995a. Log-periodogram regression of time series with long range dependence. Annals of Statistics 23:1048–74.
  • Robinson, P. M. 1995b. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 23:1630–61.
  • Roueff, F., and R. von Sachs. 2011. Locally stationary long memory estimation. Stochastic Process and their Application 121:813–44.
  • Whitcher, B., and M. J. Jensen. 2000. Wavelet estimation of a local long memory parameter. Exploration Geophysics 31:94–103.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.