Log-average periodogram estimator of the memory parameter

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dc.creatorReisen, Valderio
dc.creatorMoulines, Eric
dc.creatorSoulier, Philippe
dc.creatorFranco, Glaura
dc.date2007-12-05
dc.date.accessioned2026-07-07T08:47:30Z
dc.date.available2026-07-07T08:47:30Z
dc.descriptionThis 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.
dc.description20 pages
dc.identifierhttps://arxiv.org/abs/0712.0814
dc.identifierhttp://arxiv.org/abs/0712.0814
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/143618
dc.subjectStatistics Theory
dc.subject60G10, G0G18
dc.titleLog-average periodogram estimator of the memory parameter
dc.typetext

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