Variance-type estimation of long memory

Stochastic Processes and their Applications

Volumn 80, Issue 1, 1999, Pages 1-24

  Giraitis, Liudas ^a   Robinson, Peter M ^a   Surgailis, Donatas ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Aggregation; Long memory; Primary 62M10; Secondary 62G05; Semiparametric model

Indexed keywords

EID: 0009365045     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00062-3     Document Type: Article

References (18)

1. Abbry P., Veitch D., Flandrin P. Long-range dependence: revisiting aggregation with wavelets. J. Time Series Anal. 19:1998;253-266.
2. Bartlett M.S. Periodogram analysis and continuous spectra. Biometrika. 37:1950;1-16.
3. Bender, C.M., Orszag, S.A., 1978. Mathematical Methods for Scientists and Engineers. McGraw-Hill, New York.
4. Breuer P., Major P. Central limit theorems for non-linear functions of Gaussian fields. J. Multivariate Anal. 13:1983;425-441.
5. Brillinger, D., 1975. Time Series. Data Analysis and Theory. Holden Day, San Francisco.
6. Dobrushin R.L., Major P. Non-central limit theorems for non-linear functions of Gaussian fields. Z. Wahrscheinlichkeitstheorie Verw. Geb. 50:1979;27-52.
7. Drobot, S., 1964. Real Numbers. Prentice Hall, Inc. Englewood Cliffs, NJ.
8. Geweke J., Porter-Hudak S. The estimation and application of long memory time series models. J. Time Series Anal. 4:1983;221-238.
9. Giraitis L., Surgailis D. CLT and other limit theorems for functionals of Gaussian processes. Probab. Theory Related Fields. 70:1985;191-212.
10. Hall P., Koul H.L., Turlach B.A. Note on convergence rates of semiparametric estimators of dependence index. Ann. Statist. 25:1997;1725-1739.
11. Kunsch, H., 1987. Statistical properties of self-similar processes. Proc. 1st World Congress of the Bernoulli Society, vol. 4, VNU Science Press, pp. 67-74.
12. Lobato I., Robinson P.M. Averaged periodogram estimation of long memory. J. Econom. 73:1996;303-324.
13. Robinson P.M. Rates of convergence and optimal spectral bandwidth for long range dependence. Probab. Theory Related Fields. 99:1994;443-473.
14. Robinson, P.M., 1994b. Time series with strong dependence. In: Sims, C.A. (Ed.), Advances in Econometrics, vol. 1. Cambridge University Press, Cambridge, pp. 47-95.
15. Robinson P.M. Log-periodogram regression of time series with long range dependence. Ann. Statist. 23:1995;1048-1072.
16. Taqqu M. Convergence of integrated process of arbitrary Hermite rank. Z. Wahrscheinlichkeitstheorie Verw. Geb. 50:1979;53-83.
17. Taqqu M., Teverovsky V., Willinger W. Estimators for long-range dependence: an empirical study. Fractals. 3:1995;785-798.
18. Teverovsky V., Taqqu M. Testing for long-range dependence in the presence of shifting mean or a slowly declining trend, using a variance-type estimator. J. Time Ser. Anal. 18:1997;279-304.