Statistics for long-memory processes

  title={Statistics for long-memory processes},
  author={Jan Beran},
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 
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
Analysis of stationary and non-stationary long memory processes : estimation, applications and forecast
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
On the sample mean of locally stationary long-memory processes
On parameter estimation for locally stationary long-memory processes
Testing and estimating for change in long memory parameter
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
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.