Exact local Whittle estimation of fractional integration
Copyright policy )Exact local Whittle estimation of fractional integration
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)
- Yale University United States
- University of Essex United Kingdom
HB Economic Theory, Whittle likelihood, 330, discrete Fourier transform, Asymptotic distribution theory in statistics, semiparametric estimation, Computational problems in statistics, long memory, nonstationarity, Mathematics - Statistics Theory, Statistics Theory (math.ST), Discrete Fourier transform, Time series, auto-correlation, regression, etc. in statistics (GARCH), 62M10. (Primary), Discrete Fourier transform, Fractional integration, Long memory, Nonstationarity, Semiparametric estimation, Whittle likelihood, FOS: Mathematics, 62M10, fractional integration, jel: jel:C22
HB Economic Theory, Whittle likelihood, 330, discrete Fourier transform, Asymptotic distribution theory in statistics, semiparametric estimation, Computational problems in statistics, long memory, nonstationarity, Mathematics - Statistics Theory, Statistics Theory (math.ST), Discrete Fourier transform, Time series, auto-correlation, regression, etc. in statistics (GARCH), 62M10. (Primary), Discrete Fourier transform, Fractional integration, Long memory, Nonstationarity, Semiparametric estimation, Whittle likelihood, FOS: Mathematics, 62M10, fractional integration, jel: jel:C22
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).389 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 1% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 1% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 1%
Citations provided by BIP!Popularity provided by BIP!