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Log-periodogram estimation of the memory parameter of a long-memory process under trend

✍ Scribed by Philipp Sibbertsen

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 103 KB
Volume: 61
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00358-9

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✦ Synopsis

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 trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.

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