We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard log-periodogram methodology
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
We consider time series that, possibly after integer differencing or integrating or other detrending...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility...
We study asymptotic properties of the log-periodogram semiparametric estimate of the memory paramete...
We show that there is strong evidence of long-range dependence in the volatilities of several German...
We show the consistency of the log-periodogram estimate of the long memory parameter íor long range ...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
When applied to time series processes containing occasional level shifts, the logperiodogram (GPH) e...
summary:The long memory property of a time series has long been studied and several estimates of the...
Previous work on log-periodogram regression in time series with long range dependence is reviewed. T...
We show the consistency of the log-periodogram regression estimate of the long memory parameter for ...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
We consider time series that, possibly after integer differencing or integrating or other detrending...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility...
We study asymptotic properties of the log-periodogram semiparametric estimate of the memory paramete...
We show that there is strong evidence of long-range dependence in the volatilities of several German...
We show the consistency of the log-periodogram estimate of the long memory parameter íor long range ...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
When applied to time series processes containing occasional level shifts, the logperiodogram (GPH) e...
summary:The long memory property of a time series has long been studied and several estimates of the...
Previous work on log-periodogram regression in time series with long range dependence is reviewed. T...
We show the consistency of the log-periodogram regression estimate of the long memory parameter for ...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
We consider time series that, possibly after integer differencing or integrating or other detrending...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...