Exact local Whittle estimation of fractional integration

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An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0,{1/4}) limit distribution for all values of d if the optimization covers an interval of width less than {9/2} and the initial value of the process is known.
Published at http://dx.doi.org/10.1214/009053605000000309 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Statistics Theory, 62M10. (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/130849

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0508286
 http://arxiv.org/abs/math/0508286
 Annals of Statistics 2005, Vol. 33, No. 4, 1890-1933
 doi:10.1214/009053605000000309

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arXiv