IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v45y1993i1p169-182.html
   My bibliography  Save this item

Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  2. Peter Robinson & J. Vidal Sanz Vidal Sanz, 2003. "Modified whittle estimation of multilateral spatial models," CeMMAP working papers 18/03, Institute for Fiscal Studies.
  3. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
  4. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
  5. Robinson, P.M. & Vidal Sanz, J., 2006. "Modified Whittle estimation of multilateral models on a lattice," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1090-1120, May.
  6. Gao, Jiti & Anh, Vo & Heyde, Chris, 2002. "Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 295-321, June.
  7. Jose Vidal-Sanz, 2009. "Automatic spectral density estimation for random fields on a lattice via bootstrap," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(1), pages 96-114, May.
  8. Anh, V.V. & Leonenko, N.N. & Sakhno, L.M., 2007. "Statistical inference using higher-order information," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 706-742, April.
  9. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
  10. La Vecchia, Davide & Ronchetti, Elvezio, 2019. "Saddlepoint approximations for short and long memory time series: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 213(2), pages 578-592.
  11. Ayache, Antoine & Lévy Véhel, Jacques, 2004. "On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 119-156, May.
  12. Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
  13. Peter Robinson & J. Vidal Sanz Vidal Sanz, 2003. "Modified whittle estimation of multilateral spatial models," CeMMAP working papers CWP18/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
  15. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003.
  16. Pai, Jeffrey & Ravishanker, Nalini, 2009. "A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1282-1289, May.
  17. Ravishanker, Nalini & Ray, Bonnie K., 2002. "Bayesian prediction for vector ARFIMA processes," International Journal of Forecasting, Elsevier, vol. 18(2), pages 207-214.
  18. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  19. Shibin Zhang, 2022. "Automatic estimation of spatial spectra via smoothing splines," Computational Statistics, Springer, vol. 37(2), pages 565-590, April.
  20. Giraitis, Liudas & Robinson, Peter M., 2001. "Parametric estimation under long-range dependence," LSE Research Online Documents on Economics 2227, London School of Economics and Political Science, LSE Library.
  21. Leonenko, N.N. & Sakhno, L.M., 2006. "On the Whittle estimators for some classes of continuous-parameter random processes and fields," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 781-795, April.
  22. Pai, Jeffrey & Ravishanker, Nalini, 2009. "Maximum likelihood estimation in vector long memory processes via EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4133-4142, October.
  23. A. V. Ivanov & N. N. Leonenko & I. V. Orlovskyi, 2020. "On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 129-169, April.
  24. Jaroslav Mohapl, 1998. "On Maximum Likelihood Estimation for Gaussian Spatial Autoregression Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(1), pages 165-186, March.
  25. Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, vol. 73(1), pages 217-236, July.
  26. Pai, Jeffrey & Ravishanker, Nalini, 2015. "Fast approximate likelihood evaluation for stable VARFIMA processes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 160-168.
  27. Rosa Espejo & Nikolai Leonenko & Andriy Olenko & María Ruiz-Medina, 2015. "On a class of minimum contrast estimators for Gegenbauer random fields," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 657-680, December.
  28. Tata Subba Rao & Granville Tunnicliffe Wilson & Joao Jesus & Richard E. Chandler, 2017. "Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 204-224, March.
  29. Beran, Jan & Ghosh, Sucharita & Schell, Dieter, 2009. "On least squares estimation for long-memory lattice processes," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2178-2194, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.