Arbeitspapier
Log-periodogram estimation of the memory parameter of a long-memory process under trend
We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2001,39
- Classification
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Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Long-memory
trends
log-periodogram regression
- Event
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Geistige Schöpfung
- (who)
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Sibbertsen, Philipp
- Event
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Veröffentlichung
- (who)
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Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sibbertsen, Philipp
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2001
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Estimation of Mis-Specified Long Memory Models
An overview of modified semiparametric memory estimation methods
Estimation of long memory in volatility using wavelets
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DXer's memory log
Filtered Log-periodogram Regression of long memory processes
Memory parameter estimation in the presence of level shifts and deterministic trends
Estimation of Mis-Specified Long Memory Models
An overview of modified semiparametric memory estimation methods
Estimation of long memory in volatility using wavelets
An overview of modified semiparametric memory estimation methods
An overview of modified semiparametric memory estimation methods
Estimation of long memory in volatility using wavelets
IN MEMORY of