Arbeitspapier
On parameter estimation for locally stationary long-memory processes
We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the asymptotically optimal bandwidth are obtained. In spite of long memory, the optimal bandwidth turns out to be of the n-1/5 and inversely proportional to the square of the second derivative of d. In this sense, local estimation of d is comparable to regression smoothing with iid residuals.
- Language
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Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 07/13
- Classification
-
Wirtschaft
- Subject
-
long memory
fractional ARIMA process
local stationarity
bandwidth selection
- Event
-
Geistige Schöpfung
- (who)
-
Beran, Jan
- Event
-
Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2007
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116694
- 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
- Beran, Jan
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2007
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