Concepedia

Memory Parameter Estimation

Memory Parameter Estimation is a statistical methodology within time series analysis that specifically quantifies the degree of long-range dependence in a stochastic process by estimating the memory parameter, typically denoted as *d*, which characterizes the persistence of autocorrelation over time.

230

Publications

17.7K

Citations

342

Authors

269

Institutions

Publications per year

2017–2026

16

Parents

Publications

230

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

John Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis · 1983 · 3K citations

, , +16

Modeling and pricing long memory in stock market volatility

Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 1.2K citations

, , +14

The detection and estimation of long memory in stochastic volatility

F. Jay Breidt, Nuno Crato, Pedro de Lima · Journal of Econometrics · 1998 · 632 citations · Full text

, , +13

Successive approximations to a model for short term memory

George Sperling · Acta Psychologica · 1967 · 590 citations

, , +13

Exact Local Whittle Estimation of Fractional
\nIntegration

Katsumi Shimotsu, Peter C.B. Phillips · Open Access at Essex (University of Essex) · 2002 · 534 citations

, , +9

1–5 of 230

Authors

342

  1. PM
    Peter M. Robinson

    London School of Economics and Political Science, United Kingdom

    15 publications · 1.1K citations

    13

    h-index

  2. CM
    Clifford M. Hurvich

    New York University, United States

    12 publications · 1.1K citations

    10

    h-index

  3. CV
    Carlos Velasco

    Universidad Carlos III de Madrid, Spain

    9 publications · 1K citations

    9

    h-index

  4. LG
    Liudas Giraitis

    London School of Economics and Political Science, United Kingdom

    8 publications · 685 citations

    8

    h-index

  5. PC
    Peter C.B. Phillips

    Yale University, United States

    8 publications · 1K citations

    8

    h-index

1–5 of 342

Institutions

269

  1. London School of Economics and Political Science

    London, United Kingdom

    12 h-index

    19 publications

    1.7K citations

  2. University of York

    York, United Kingdom

    11 h-index

    15 publications

    1.7K citations

  3. Universidad Carlos III de Madrid

    Madrid, Spain

    10 h-index

    12 publications

    1.2K citations

  4. New York University

    New York, United States

    9 h-index

    17 publications

    2K citations

  5. Boston University

    Boston, United States

    9 h-index

    13 publications

    1K citations

  6. Centre National de la Recherche Scientifique

    Paris, France

    8 h-index

    15 publications

    476 citations

  7. TU Dortmund University

    Dortmund, Germany

    6 h-index

    6 publications

    155 citations

  8. Michigan State University

    East Lansing, United States

    6 h-index

    10 publications

    520 citations

1–8 of 269

Venues

  1. Journal of Time Series Analysis

    28 publications · 5.2K citations

    21

    h-index

  2. Journal of Econometrics

    12 publications · 2.8K citations

    11

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 7 publications · 282 citations

    7

    h-index

  4. Econometric Theory

    7 publications · 675 citations

    7

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 7 publications · 1.4K citations

    7

    h-index

1–5