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Estimation of the location and exponent of the spectral singularity of a long memory process

✍ Scribed by Javier Hidalgo; Philippe Soulier

Book ID
111039854
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
230 KB
Volume
25
Category
Article
ISSN
0143-9782

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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