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
Estimating a generalized long memory process
โ Scribed by Ching-Fan Chung
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 1002 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0304-4076
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