𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Averaged periodogram estimation of long memory

✍ Scribed by I. Lobato; P.M. Robinson


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
743 KB
Volume
73
Category
Article
ISSN
0304-4076

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Log-periodogram estimation of the memory
✍ Philipp Sibbertsen πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 103 KB

We show that log-periodogram-based estimators for the memory parameter in a stationary invertible longmemory process do not confuse small trends with long-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these

Bootstrapping periodogram and cross peri
✍ Efstathios Paparoditis πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 26 KB

There are some not corrected misprints in the proof of Theorem 2.1 which could be misleading. In particular, the' ~' in the second line of the proof should be replaced by a' = '. The covariance matrix of the random variable Zc is equal to ,~. Finally, the assumption E(e4t) < oo for ie {1, 2} should