Exact local Whittle estimation of fractional integration

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dc.creatorShimotsu, Katsumi
dc.creatorPhillips, Peter C. B.
dc.date2005-08-16
dc.date.accessioned2026-07-07T08:07:10Z
dc.date.available2026-07-07T08:07:10Z
dc.descriptionAn 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0508286
dc.identifierhttp://arxiv.org/abs/math/0508286
dc.identifierAnnals of Statistics 2005, Vol. 33, No. 4, 1890-1933
dc.identifierdoi:10.1214/009053605000000309
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130849
dc.subjectStatistics Theory
dc.subject62M10. (Primary)
dc.titleExact local Whittle estimation of fractional integration
dc.typetext

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