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Averaged periodogram estimation of long memory

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
1987Tests for Hurst Effect544 cited
1994Semiparametric Analysis of Long-Memory Time Series468 cited
1994Advances in Econometrics135 cited

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2008Change-in-mean problem for long memory time series models with applications

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2008A fractionally integrated exponential STAR model applied to the US real effective exchange rate16 cited

2008CHANGE‐POINT DETECTION WITH RANK STATISTICS IN LONG‐MEMORY TIME‐SERIES MODELS12 cited