Filtered log-periodogram regression of long memory processes

被引：3

作者：

Feng Y. ^{[1
]}

Beran J. ^{[2
]}

机构：

[1] Faculty of Business Administration and Economics, University of Paderborn, Paderborn

[2] Department of Mathematics and Statistics, University of Konstanz, Konstanz

来源：

Journal of Statistical Theory and Practice | 2009年 / 3卷 / 4期

关键词：

Filtering; Fractional differencing parameter; Local pre-whitening; Log-periodogram regression; Long memory;

D O I：

10.1080/15598608.2009.10411959

中图分类号：

学科分类号：

摘要：

Filtered log-periodogram regression estimation of the fractional differencing parameter d is consid16 ered. Asymptotic properties are derived and the effect of filtering on dˆ is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening. © 2009 Taylor & Francis Group, LLC. All rights reserved.

引用

页码：777 / 793

页数：16

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