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Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case

✍ Scribed by Kutoyant, Yu. A.

Book ID
118227833
Publisher
Society for Industrial and Applied Mathematics
Year
1978
Tongue
English
Weight
577 KB
Volume
22
Category
Article
ISSN
0040-585X

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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