Log in

Relevant bibliographies by topics / Log periodogram

Contents

Journal articles
Dissertations / Theses
Books
Book chapters
Conference papers

Academic literature on the topic 'Log periodogram'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Log periodogram.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Log periodogram"

1

Velasco, Carlos. "NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION." Econometric Theory 16, no. 1 (2000): 44–79. http://dx.doi.org/10.1017/s0266466600161031.

Full text

Abstract:

We show the consistency of the log-periodogram regression estimate of the long memory parameter for long range dependent linear, not necessarily Gaussian, time series when we make a pooling of periodogram ordinates. Then, we study the asymptotic behavior of the tapered periodogram of long range dependent time series for frequencies near the origin, and we obtain the asymptotic distribution of the log-periodogram estimate for possibly non-Gaussian observation when the tapered periodogram is used. For these results we rely on higher order asymptotic properties of a vector of periodogram ordinate

APA, Harvard, Vancouver, ISO, and other styles

2

Nam, Gilnam, Sinsup Cho, and In-Kwon Yeo. "Bootstrapping Log Periodogram Regression." Communications for Statistical Applications and Methods 10, no. 3 (2003): 1047–56. http://dx.doi.org/10.5351/ckss.2003.10.3.1047.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

SHIMOTSU, KATSUMI, and PETER C. B. PHILLIPS. "Pooled Log Periodogram Regression." Journal of Time Series Analysis 23, no. 1 (2002): 57–93. http://dx.doi.org/10.1111/1467-9892.00575.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Velasco, Carlos. "Non-stationary log-periodogram regression." Journal of Econometrics 91, no. 2 (1999): 325–71. http://dx.doi.org/10.1016/s0304-4076(98)00080-3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Arteche, J., and J. Orbe. "Bootstrapping the log-periodogram regression." Economics Letters 86, no. 1 (2005): 79–85. http://dx.doi.org/10.1016/j.econlet.2004.06.011.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Phillips, Peter C. B. "Unit root log periodogram regression." Journal of Econometrics 138, no. 1 (2007): 104–24. http://dx.doi.org/10.1016/j.jeconom.2006.05.017.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Neagu, Radu, and Igor Zurbenko. "Algorithm for adaptively smoothing the log-periodogram." Journal of the Franklin Institute 340, no. 2 (2003): 103–23. http://dx.doi.org/10.1016/s0016-0032(03)00014-0.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Davidson, James, and Philipp Sibbertsen. "Tests of bias in log-periodogram regression." Economics Letters 102, no. 2 (2009): 83–86. http://dx.doi.org/10.1016/j.econlet.2008.11.020.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Hurvich, Clifford M., and Philippe Soulier. "TESTING FOR LONG MEMORY IN VOLATILITY." Econometric Theory 18, no. 6 (2002): 1291–308. http://dx.doi.org/10.1017/s0266466602186014.

Full text

Abstract:

We consider the asymptotic behavior of log-periodogram regression estimators of the memory parameter in long-memory stochastic volatility models, under the null hypothesis of short memory in volatility. We show that in this situation, if the periodogram is computed from the log squared returns, then the estimator is asymptotically normal, with the same asymptotic mean and variance that would hold if the series were Gaussian. In particular, for the widely used GPH estimator [d with circumflex above]GPH under the null hypothesis, the asymptotic mean of m1/2[d with circumflex above]GPH is zero an

APA, Harvard, Vancouver, ISO, and other styles

10

Feng, Yuanhua, and Jan Beran. "Filtered Log-Periodogram Regression of Long Memory Processes." Journal of Statistical Theory and Practice 3, no. 4 (2009): 777–93. http://dx.doi.org/10.1080/15598608.2009.10411959.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "Log periodogram"

1

Zhou, Yinghui. "Estimating the fractional differencing parameter, d, of a long memory time series and simulating stationary and invertible time series." Thesis, University of East Anglia, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323223.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Hardouin, Cécile. "Quelques resultats nouveaux en statistique des processus : contraste fort, regression a residus a longue portee, estimation par log-periodogramme." Paris 7, 1992. http://www.theses.fr/1992PA077084.

Full text

Abstract:

On etudie d'abord les estimateurs definis par processus de contraste fort; le resultat de consistance forte est generalise au cas non ergodique: variables aleatoires independantes non identiquement distribuees, regression a residus ergodiques correles, estimation par pseudovraisemblance et par codage pour un champ markovien; la normalite asymptotique permet d'obtenir un test de melange de chi-2 de sous-hypotheses emboitees, qui devient un test du chi-2 de difference de codage dans le cas markovien. Ces resultats permettent d'etablir la consistance forte de l'estimateur des moindres carres dans

APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Log periodogram"

1

Wright, Jonathan H. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. Federal Reserve Board, 2000.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Log periodogram"

1

"Properties of the DFT and the Periodogram." In Large Sample Inference for Long Memory Processes. IMPERIAL COLLEGE PRESS, 2012. http://dx.doi.org/10.1142/9781848162792_0005.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Log periodogram"

1

Yoshida, Hisashi, Isao Fujimoto, and Sho Kikkawa. "A spectral estimation method by non-equinterval smoothing of log periodogram." In Optical Engineering + Applications, edited by Franklin T. Luk. SPIE, 2008. http://dx.doi.org/10.1117/12.801741.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Deng, Lu, and Yingruolan Li. "Bandwidth choice of log-periodogram estimators with short-term noise in long memory series." In 2011 Eighth International Conference on Fuzzy Systems and Knowledge Discovery (FSKD 2011). IEEE, 2011. http://dx.doi.org/10.1109/fskd.2011.6019756.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Ko, Marwin, Brandon Stark, Monica Barbadillo, and YangQuan Chen. "An Evaluation of Three Approaches Using Hurst Estimation to Differentiate Between Normal and Abnormal HRV." In ASME 2015 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/detc2015-46966.

Full text

Abstract:

In this study, three different approaches using seven Hurst estimators to analyze heart rate variability (HRV) are evaluated. Herein, normal sinus rhythm and arrhythmia will be referred to as normal and abnormal HRV, respectively. The Hurst parameter is estimated using the following methods: aggregated variance, absolute value, box periodogram, difference variance, Higuchi, Peng, and rescaled range [1,2]. In this paper, the three approaches used are total time series estimation, cumulative window estimation, and sliding window estimation. These approaches were influenced by previous studies [3

APA, Harvard, Vancouver, ISO, and other styles

4

Sheng, Hu, and YangQuan Chen. "Robustness Analysis of the Estimators for Noisy Long-Range Dependent Time Series." In ASME 2009 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/detc2009-86866.

Full text

Abstract:

Processes with long-range correlations or called long-range dependent (LRD) processes are all around us in nature. The presence and nature of LRD is characterized by the Hurst parameter (0 &lt; H &lt; 1). The aim of this paper is to make a practical analysis of the robustness of the Hurst parameter estimators. A simple model of exactly self-similar process-Fractional Gaussian noise (FGN) with parameter H ∈ (0, 1) is applied to evaluate Hurst parameter estimators. The white Gaussian noise or the Symmetric α-stable (SαS) noise is superimposed in order to evaluate the reliability and the

APA, Harvard, Vancouver, ISO, and other styles

5

Kharyton, Vsevolod, Grigorios Dimitriadis, and Colin Defise. "A Discussion on the Advancement of Blade Tip Timing Data Processing." In ASME Turbo Expo 2017: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/gt2017-63138.

Full text

Abstract:

The Blade Tip Timing method (BTT) is a well-known approach permitting individual blade vibration behavior characterization. The technique is becoming increasingly popular among turbomachinery vibration specialists. Its advantages include its non-intrusive nature and its capability of being used for long-term monitoring, both in on-line and offline analysis. However, the main drawback of BTT is frequency aliasing. Frequency aliasing effects in tip timing can be reduced by means of the application of different methods from digital signal analysis that can exploit the non-uniform nature of the da

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!