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Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes

Author

Listed:
  • Céline Lévy‐Leduc
  • Hélène Boistard
  • Eric Moulines
  • Murad S. Taqqu
  • Valderio A. Reisen

Abstract

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Suggested Citation

  • Céline Lévy‐Leduc & Hélène Boistard & Eric Moulines & Murad S. Taqqu & Valderio A. Reisen, 2011. "Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 135-156, March.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:2:p:135-156
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    Citations

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    Cited by:

    1. Reisen, Valdério Anselmo & Sgrancio, Adriano Marcio & Lévy-Leduc, Céline & Bondon, Pascal & Monte, Edson Zambon & Aranda Cotta, Higor Henrique & Ziegelmann, Flávio Augusto, 2019. "Robust factor modelling for high-dimensional time series: An application to air pollution data," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 842-852.
    2. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
    3. Tarr, G. & Weber, N.C. & Müller, S., 2015. "The difference of symmetric quantiles under long range dependence," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 144-150.
    4. Li, Ming & Zhao, Wei, 2013. "On bandlimitedness and lag-limitedness of fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1955-1961.
    5. Reisen, Valdério Anselmo & Monte, Edson Zambon & da Conceição Franco, Glaura & Sgrancio, Adriano Marcio & Molinares, Fábio Alexander Fajardo & Bondon, Pascal & Ziegelmann, Flávio Augusto & Abraham, Bo, 2018. "Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 146(C), pages 27-43.
    6. Song, Wanqing & Li, Ming & Li, Yuanyuan & Cattani, Carlo & Chi, Chi-Hung, 2019. "Fractional Brownian motion: Difference iterative forecasting models," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 347-355.
    7. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
    8. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.

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