Nonfractional Memory: Filtering, Antipersistence, and Forecasting
Fuente:
arXiv
Saved in:
| Main Author: | Vera-Valdés, J. Eduardo |
|---|---|
| Format: | Preprint |
| Published: |
2018
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting
by: Sadabad, Yousef Adeli, et al.
Published: (2025)
by: Sadabad, Yousef Adeli, et al.
Published: (2025)
Convolution Mode Regression
by: Finn, Eduardo Schirmer, et al.
Published: (2024)
by: Finn, Eduardo Schirmer, et al.
Published: (2024)
Sequential Scoring Rule Evaluation for Forecast Method Selection
by: Frazier, David T., et al.
Published: (2025)
by: Frazier, David T., et al.
Published: (2025)
Inference for Forecasting Accuracy: Pooled versus Individual Estimators in High-dimensional Panel Data
by: Kutta, Tim, et al.
Published: (2025)
by: Kutta, Tim, et al.
Published: (2025)
Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
by: Moreira, Marcelo J., et al.
Published: (2026)
by: Moreira, Marcelo J., et al.
Published: (2026)
Testing Forecast Rationality for Measures of Central Tendency
by: Dimitriadis, Timo, et al.
Published: (2019)
by: Dimitriadis, Timo, et al.
Published: (2019)
Trading-off Bias and Variance When the Size of the Treatment Effect is Bounded
by: de Chaisemartin, Clément
Published: (2021)
by: de Chaisemartin, Clément
Published: (2021)
Normal Approximation in Large Network Models
by: Leung, Michael P., et al.
Published: (2019)
by: Leung, Michael P., et al.
Published: (2019)
A sliced Wasserstein and diffusion approach to random coefficient models
by: Lim, Keunwoo, et al.
Published: (2025)
by: Lim, Keunwoo, et al.
Published: (2025)
Efficient Difference-in-Differences and Event Study Estimators
by: Chen, Xiaohong, et al.
Published: (2025)
by: Chen, Xiaohong, et al.
Published: (2025)
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)
by: Li, Degui, et al.
Published: (2025)
Gaussian approximation for maximum score and non-smooth M-estimators with multiway dependence
by: Chiang, Harold D., et al.
Published: (2026)
by: Chiang, Harold D., et al.
Published: (2026)
Fixed-order PCA: Theory for Overestimated Factor Models
by: Liao, Yuan, et al.
Published: (2026)
by: Liao, Yuan, et al.
Published: (2026)
Inference in Experiments with Matched Pairs and Imperfect Compliance
by: Bai, Yuehao, et al.
Published: (2023)
by: Bai, Yuehao, et al.
Published: (2023)
Convolution-t Distributions
by: Hansen, Peter Reinhard, et al.
Published: (2024)
by: Hansen, Peter Reinhard, et al.
Published: (2024)
Inference on effect size after multiple hypothesis testing
by: Dzemski, Andreas, et al.
Published: (2025)
by: Dzemski, Andreas, et al.
Published: (2025)
A Consistent ICM-based $χ^2$ Specification Test
by: Jiang, Feiyu, et al.
Published: (2022)
by: Jiang, Feiyu, et al.
Published: (2022)
Generalized Autoregressive Multivariate Models: From Binary to Poisson
by: Bykhovskaya, Anna, et al.
Published: (2026)
by: Bykhovskaya, Anna, et al.
Published: (2026)
Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
by: Boniece, B. Cooper, et al.
Published: (2025)
by: Boniece, B. Cooper, et al.
Published: (2025)
Robust Cauchy-Based Methods for Predictive Regressions
by: Ibragimov, Rustam, et al.
Published: (2025)
by: Ibragimov, Rustam, et al.
Published: (2025)
Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
by: Krabbe, Frederik
Published: (2024)
by: Krabbe, Frederik
Published: (2024)
A nonparametric test for diurnal variation in spot correlation processes
by: Christensen, Kim, et al.
Published: (2024)
by: Christensen, Kim, et al.
Published: (2024)
Expected Kullback-Leibler-based characterizations of score-driven updates
by: de Punder, Ramon, et al.
Published: (2024)
by: de Punder, Ramon, et al.
Published: (2024)
Estimation with Pairwise Observations
by: Chan, Felix, et al.
Published: (2024)
by: Chan, Felix, et al.
Published: (2024)
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
by: Kock, Anders Bredahl, et al.
Published: (2024)
by: Kock, Anders Bredahl, et al.
Published: (2024)
Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach
by: Yang, Xuanling, et al.
Published: (2024)
by: Yang, Xuanling, et al.
Published: (2024)
Data-driven fixed-point tuning for truncated realized variations
by: Boniece, B. Cooper, et al.
Published: (2023)
by: Boniece, B. Cooper, et al.
Published: (2023)
Selecting Penalty Parameters of High-Dimensional M-Estimators using Bootstrapping after Cross-Validation
by: Chetverikov, Denis, et al.
Published: (2021)
by: Chetverikov, Denis, et al.
Published: (2021)
The exact distribution of the conditional likelihood-ratio test in instrumental variables regression
by: Londschien, Malte
Published: (2025)
by: Londschien, Malte
Published: (2025)
Location Characteristics of Conditional Selective Confidence Intervals via Polyhedral Methods
by: Dzemski, Andreas, et al.
Published: (2025)
by: Dzemski, Andreas, et al.
Published: (2025)
Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators
by: Cattaneo, Matias D., et al.
Published: (2024)
by: Cattaneo, Matias D., et al.
Published: (2024)
Higher-Order Neyman Orthogonality in Moment-Condition Models
by: Bonhomme, Stéphane, et al.
Published: (2026)
by: Bonhomme, Stéphane, et al.
Published: (2026)
Encompassing Tests for Nonparametric Regressions
by: Lapenta, Elia, et al.
Published: (2022)
by: Lapenta, Elia, et al.
Published: (2022)
New possibilities in identification of binary choice models with fixed effects
by: Zhu, Yinchu
Published: (2022)
by: Zhu, Yinchu
Published: (2022)
Local Identification in Instrumental Variable Multivariate Quantile Regression Models
by: Kono, Haruki
Published: (2024)
by: Kono, Haruki
Published: (2024)
A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions
by: Reichold, Karsten, et al.
Published: (2022)
by: Reichold, Karsten, et al.
Published: (2022)
The Hellinger Bounds on the Kullback-Leibler Divergence and the Bernstein Norm
by: Kaji, Tetsuya
Published: (2026)
by: Kaji, Tetsuya
Published: (2026)
Parametrization, Prior Independence, and the Semiparametric Bernstein-von Mises Theorem for the Partially Linear Model
by: Walker, Christopher D.
Published: (2023)
by: Walker, Christopher D.
Published: (2023)
On Rosenbaum's Rank-based Matching Estimator
by: Cattaneo, Matias D., et al.
Published: (2023)
by: Cattaneo, Matias D., et al.
Published: (2023)
Expected Shortfall LASSO
by: Barendse, Sander
Published: (2023)
by: Barendse, Sander
Published: (2023)
Similar Items
-
Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting
by: Sadabad, Yousef Adeli, et al.
Published: (2025) -
Convolution Mode Regression
by: Finn, Eduardo Schirmer, et al.
Published: (2024) -
Sequential Scoring Rule Evaluation for Forecast Method Selection
by: Frazier, David T., et al.
Published: (2025) -
Inference for Forecasting Accuracy: Pooled versus Individual Estimators in High-dimensional Panel Data
by: Kutta, Tim, et al.
Published: (2025) -
Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
by: Moreira, Marcelo J., et al.
Published: (2026)