Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series
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DOI: 10.1016/j.jmva.2012.10.006
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- Lukasz Lenart & Blazej Mazur & Mateusz Pipien, 2016.
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Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 769-783, December.
- Lukasz Lenart & Blazej Mazur & Mateusz Pipien, 2015. "Statistical analysis of business cycle fluctuations in Poland before and after the crisis," Working Papers 71/2015, Institute of Economic Research, revised Apr 2015.
- Łukasz Lenart & Mateusz Pipień, 2017. "Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 201-241, September.
- Dudek, Anna E. & Lenart, Łukasz, 2017. "Subsampling for nonstationary time series with non-zero mean function," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 252-259.
- A. Dudek, 2015. "Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(3), pages 313-335, April.
- Łukasz Lenart, 2016. "Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 369-404, May.
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- Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
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Keywords
Almost periodically correlated time series; Subsampling consistency; Frequency estimation;All these keywords.
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