16 Citations
On the Estimation of Locally Stationary Long-Memory Processes
- MathematicsStatistica Sinica
- 2019
A central limit theorem for the Whittle likelihood estimation method is derived under mild distributional conditions, extending its application to a wide range of non-Gaussian time series.
Time varying long memory parameter estimation for locally stationary long memory processes
- MathematicsCommunications in Statistics - Theory and Methods
- 2018
Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are…
0472 1 ON THE ESTIMATION OF LOCALLY STATIONARY LONG-MEMORY PROCESSES
- Mathematics
- 2018
This paper establishes the statistical properties of a spectrum-based Whittle parameter estimation procedure for long-range dependent locally stationary processes. Both theoretical and empirical…
Estimation of slowly time-varying trend function in long memory regression models
- Mathematics
- 2018
ABSTRACT We study the asymptotic properties of the least-squares estimator for the trend function of a particular class of locally stationary models, which are defined by considering a smooth…
Simultaneous quantile inference for non-stationary long-memory time series
- MathematicsBernoulli
- 2018
We consider the simultaneous or functional inference of time-varying quantile curves for a class of non-stationary long-memory time series. New uniform Bahadur representations and Gaussian…
Measuring stationarity in long-memory processes
- Mathematics
- 2013
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary…
Minimum distance estimation of locally stationary moving average processes
- Mathematics, Computer ScienceComput. Stat. Data Anal.
- 2019
Asymptotics of partial sums of linear processes with changing memory parameter*
- Mathematics
- 2013
We study the limit distribution of partial sums of nonstationary truncated linear process {Xt, t = 1,…, n} with long memory and changing memory parameter dt,n ∈ (0,∞). Two classes of linear processes…
Statistical analysis of locally stationary processes
- Computer Science
- 2013
This work reviews estimation and predictions techniques, illustrating the application of these methods to real-life data examples, and shows that the locally stationary methods provide a useful theoretical and practical framework for the statistical analysis of nonstationary time series data.
Estimation and Forecasting of Locally Stationary Processes
- Mathematics, Environmental Science
- 2013
The proposed Kalman filter approach provides a numerically efficient methodology for estimating and predicting locally stationary models and allows for the handling of missing values and it provides both exact and approximate maximum likelihood estimates.
References
SHOWING 1-10 OF 22 REFERENCES
ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG‐MEMORY NOISE
- Mathematics
- 1988
. When estimating the unknown mean of a stationary time series, the best linear unbiased estimator is often a significantly better estimator than the ordinary least squares estimates Xn. The relative…
Statistics for long-memory processes
- Mathematics
- 1994
Theorems of Stationary Processes with Long Memory Limit Theorems and Estimations of Long Memory-Heuristic Approaches, Forecasting Regression Goodness of Fit Tests, and Robust Estimation of Long memory estimates are presented.
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Mathematics
- 1996
Behavior of sample means and nonparametric time-series estimation
- MathematicsWSC '86
- 1986
This paper consists of five sections discussing notation; spectral density classification of memory type of a time series; equivalent degrees of freedom of asymptotic confidence intervals for the mean; sample Fourier transforms and sample spectral density; sample Brownian Bridge functionals and standardized time series.
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Mathematics
- 1983
Abstract. The definitions of fractional Gaussian noise and integrated (or fractionally differenced) series are generalized, and it is shown that the two concepts are equivalent. A new estimator of…
Long-Memory Time Series: Theory and Methods
- Mathematics
- 2007
Preface. Acronyms. 1. Stationary Processes. 2. State Space Systems. 3. Long-Memory Processes. 4. Estimation Methods. 5. Asymptotic Theory. 6. Heteroskedastic Models. 7. Transformations. 8. Bayesian…
Locally stationary random processes
- MathematicsIRE Trans. Inf. Theory
- 1957
In the case of locally stationary random processes, a relation is found between the covariance and the spectral density which constitutes a natural generalization of the Wiener-Khintchine relations.
On a time deformation reducing nonstationary stochastic processes to local stationarity
- MathematicsJournal of Applied Probability
- 2004
A stochastic process is locally stationary if its covariance function can be expressed as the product of a positive function multiplied by a stationary covariance. In this paper, we characterize…
Quantile spectral analysis and long-memory time series
- Computer ScienceJournal of Applied Probability
- 1986
An approach to time series model identification is described which involves the simultaneous use of frequency, time and quantile domain algorithms; the approach is called quantile spectral analysis.…