Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models (Q2740106)
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scientific article; zbMATH DE number 1646506
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models |
scientific article; zbMATH DE number 1646506 |
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16 September 2001
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long-memory time series
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fractional exponential models
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stationar processes
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Gaussian processes
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periodogram
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spectral density
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Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models (English)
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The authors consider a Gaussian long-memory time series with spectral density NEWLINE\[NEWLINEf(\lambda)=|1-e^{-i\lambda }|^{-2d}f^*(\lambda),\quad \lambda \in [-\pi;\pi],NEWLINE\]NEWLINE where the memory parameter \(d\in (-1/2, 1/2)\) and the function \(f^*(\lambda)\) govern the long- and short-term correlation structures of the series, respectively. A semiparametric estimator of \(d\) is considered. The bias and the variance of the estimator are derived. Some of their asymptotic properties are given. A Monte Carlo study is presented.
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