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Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

Persistent link: https://www.econbiz.de/10010310015

Autoregressive aided periodogram bootstrap for time series

Kreiss, Jens-Peter; Paparoditis, Efstathios - 2001

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a … time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram … ordinates and imitate the essential features of the data and the weak dependence structure of the periodogram while a …

Persistent link: https://www.econbiz.de/10010310397

Analysis of time series to examine the impact of the EU Timber Regulation (EUTR) on European timber trade

Becher, Georg - 2019

on inference from periodogram revealed cycles of 3, 4, 6 and 12 months, except for time series of tropical wood imports …

Persistent link: https://www.econbiz.de/10012143451

Quantile spectral analysis for locally stationary time series

Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014

Persistent link: https://www.econbiz.de/10010376928

Quantile spectral processes : asymptotic analysis and inference

Kley, Tobias; Volgushev, Stanislav; Dette, Holger; … - 2014

Persistent link: https://www.econbiz.de/10010378433

Quantile spectral analysis for locally stationary time series

Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014

Persistent link: https://www.econbiz.de/10010347305

Modeling the Nigerian inflation rates using periodogram and Fourier Series Analysis

Omekara, Chukwuemeka O.; Ekpenyong, Emmanuel J.; … - In: CBN journal of applied statistics 4 (2013) 2, pp. 51-68

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation … obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze …

Persistent link: https://www.econbiz.de/10011474361

Efficient nonparametric estimation of generalized autocovariances

Luati, Alessandra; Papagni, Francesca; Proietti, Tommaso - 2021

Persistent link: https://www.econbiz.de/10013256336

A note on a specification test for time series models based on spectral density estimation

Dette, Holger; Spreckelsen, Ingrid - 2001

In a recent paper Paparoditis (2000) proposed a new goodness-of-fit test for time series models based on spectral density estimation. The test statistic is based on the distance between a kernel estimator of the ratio of the true and the hypothesized spectral density and the expected value of...

Persistent link: https://www.econbiz.de/10009775974

Fourier transformation on model fitting for Pakistan inflation rate

Iqbal, Anam; Ahmad, Basheer; Iqbal, Kanwal; Ali, Asad - In: Inventi impact: emerging economies (2018) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10012241663