Log-average periodogram estimator of the memory parameter

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This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The proposed estimator is theoretically justified and empirical Monte Carlo investigation gives evidence that the method is very promising to estimate the long-memory parameter.
20 pages

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Statistics Theory, 60G10, G0G18

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http://salesiana.dossiersoluciones.com/handle/123456789/143618

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0712.0814
 http://arxiv.org/abs/0712.0814

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arXiv