Estimation methods for the LRD parameter under a change in the mean
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00362-016-0839-7/fulltext.html
Reference54 articles.
1. Baillie RT (1996) Long memory processes and fractional integration in econometrics. J Econom 73(1):5–59
2. Barkoulas JT, Baum CF, Travlos N (2000) Long memory in the Greek stock market. Appl Financial Econom 10(2):177–184
3. Beran J (1994) Statistics for long-memory processes. Chapman & Hall/CRC, Boca Raton ISBN 0-412-04901-5
4. Beran J, Feng Y, Ghosh S, Kulik R (2013) Long-memory processes: probabilistic properties and statistical methods. Springer, Berlin
5. Berkes I, Horváth L, Kokoszka P, Shao Q-M (2006) On discriminating between long-range dependence and changes in the mean. Ann Stat 34:1140–1165
Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method;Statistical Papers;2023-11-15
2. Robust scale estimation under shifts in the mean;Statistics;2021-07-04
3. On robust estimation of negative binomial INARCH models;METRON;2021-04-24
4. Unit root testing with slowly varying trends;Journal of Time Series Analysis;2020-09-20
5. On variance estimation under shifts in the mean;AStA Advances in Statistical Analysis;2020-04-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3