Estimation of long memory parameter in nonparametric regression-Reference-Cited by-同舟云学术

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Estimation of long memory parameter in nonparametric regression

Published:2019-11-30 Issue:6 Volume:26 Page:611-622
ISSN:2383-4757
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:CSAM

Author:

Cho Yeoyoung,Baek Changryong

Funder

National Research Foundation of Korea

Publisher

Communications for Statistical Applications and Methods

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modeling and Simulation,Statistics and Probability

Link

http://pdf.medrang.co.kr/CSAM/2019/026/CSAM026-06-07.pdf

Reference25 articles.

1. Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity

2. On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation

3. SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity

4. Comparison of Two Bandwidth Selectors with Dependent Errors

5. A long memory property of stock market returns and a new model

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