Statistics for long-memory processes

@inproceedings{Beran1994StatisticsFL,
  title={Statistics for long-memory processes},
  author={Jan Beran},
  year={1994}
}
Preface Introduction Stationary Processes with Long Memory Limit Theorems Estimations of Long Memory-Heuristic Approaches Estimations of Long Memory-MLE Time Domain Estimations of Long Memory-MLE Frequency Domain Robust Estimation of Long Memory Estimation of Location and Scale, Forecasting Regression Goodness of Fit Tests and Related Topics References Author Index Subject Index 
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Time varying long memory parameter estimation for locally stationary long memory processes
  • Lihong Wang
  • Mathematics
    Communications 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…
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In this thesis, we consider two classes of long memory processes: the stationary long memory processes and the non-stationary long memory processes. We are devoted to the study of their probabilistic…
A comparison of techniques of estimation in long-memory processes
On the sample mean of locally stationary long-memory processes
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We consider a long memory time series where the long-memory parameter H appears to change with time. We are interested in detecting and estimating the change-point and studying the asymptotic…
Predicting the distribution function for long-memory processes
Prediction of 0–1-Events for Short- and Long-memory Time Series
The problem of predicting 0–1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns.…
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