Search Results - subject:"Spectral Density"

Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series

Szabados, Tamás - In: Econometrics : open access journal 11 (2023) 2, pp. 1-11

density. A spectral density with smooth eigenvalues and H∞ eigenvectors gives an explicit method to factorize the spectral …The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral … density and compute the Wold representation of a weakly stationary time series. A formula, similar to the Kolmogorov …

Persistent link: https://www.econbiz.de/10014362622

Gaussian semiparametric estimation of two-dimensional intrinsically stationary

Yajima, Yoshihiro; Matsuda, Yassumasa - 2023

Persistent link: https://www.econbiz.de/10014390443

On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison

Shi, Shuping; Yu, Jun; Zhang, Chen - 2023

Persistent link: https://www.econbiz.de/10014320456

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in using the sample autocorrelation function (ACF)...

Persistent link: https://www.econbiz.de/10014335857