Optimal spectral kernel for long-range dependent time series

被引：2
|
作者：
Delgado, MA
Robinson, PM
机构：
[1] UNIV CARLOS III MADRID,GETAFE 28903,MADRID,SPAIN
[2] UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON,ENGLAND
来源：
STATISTICS & PROBABILITY LETTERS | 1996年 / 30卷 / 01期
基金：
英国经济与社会研究理事会;
关键词：
long-range dependence; spectral analysis; optimal kernel;
D O I：
10.1016/0167-7152(95)00199-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We derive an optimal kernel K(lambda) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K(lambda) --> 0 as lambda --> 0.
引用
收藏
页码：37 / 43
页数：7
相关论文
共 50 条
  • [21] Segmentation of time series with long-range fractal correlations
    Bernaola-Galvan, P.
    Oliver, J. L.
    Hackenberg, M.
    Coronado, A. V.
    Ivanov, P. Ch.
    Carpena, P.
    EUROPEAN PHYSICAL JOURNAL B, 2012, 85 (06):
  • [22] WAR - LONG-RANGE TIME-SERIES BY CONDITIONING
    DENTON, T
    INTERNATIONAL JOURNAL OF COMPARATIVE SOCIOLOGY, 1995, 36 (1-2) : 36 - 60
  • [23] Segmentation of time series with long-range fractal correlations
    P. Bernaola-Galván
    J. L. Oliver
    M. Hackenberg
    A. V. Coronado
    P. Ch. Ivanov
    P. Carpena
    The European Physical Journal B, 2012, 85
  • [24] Testing for Long-Range Dependence in Financial Time Series
    Mangat, Manveer Kaur
    Reschenhofer, Erhard
    CENTRAL EUROPEAN JOURNAL OF ECONOMIC MODELLING AND ECONOMETRICS, 2019, 11 (02): : 93 - 106
  • [25] Financial and other spatio-temporal time series: Long-range correlations and spectral properties
    Chakraborti, A
    Santhanam, MS
    INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2005, 16 (11): : 1733 - 1743
  • [26] Long-range contribution to the exchange-correlation kernel of time-dependent density functional theory
    Botti, S
    Sottile, F
    Vast, N
    Olevano, V
    Reining, L
    Weissker, HC
    Rubio, A
    Onida, G
    Del Sole, R
    Godby, RW
    PHYSICAL REVIEW B, 2004, 69 (15) : 155112 - 1
  • [27] Rank-based change-point analysis for long-range dependent time series
    Betken, Annika
    Wendler, Martin
    BERNOULLI, 2022, 28 (04) : 2209 - 2233
  • [28] Long-range dependence in the time series of Taia River discharges
    Maftei, Carmen
    Barbulescu, Alina
    Andrei Carsteanu, Alin
    HYDROLOGICAL SCIENCES JOURNAL-JOURNAL DES SCIENCES HYDROLOGIQUES, 2016, 61 (09): : 1740 - 1747
  • [29] Long-Range Correlations and Characterization of Financial and Volcanic Time Series
    Mariani, Maria C.
    Asante, Peter K.
    Bhuiyan, Md Al Masum
    Beccar-Varela, Maria P.
    Jaroszewicz, Sebastian
    Tweneboah, Osei K.
    MATHEMATICS, 2020, 8 (03)
  • [30] Long-range correlations and trends in Colombian seismic time series
    Martin-Montoya, L. A.
    Aranda-Camacho, N. M.
    Quimbay, C. J.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2015, 421 : 124 - 133
12345