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

共 50 条

[41] ON STATISTICS OF MARKOV STEP PROCESSES - REPRESENTATION OF LOG-LIKELIHOOD RATIO PROCESSES IN FILTERED LOCAL MODELS
HOPFNER, R
[J]. PROBABILITY THEORY AND RELATED FIELDS, 1993, 94 (03) : 375 - 398
[42] Sample means, sample autocovariances, and linear regression of stationary multivariate long memory processes
Chung, CF
[J]. ECONOMETRIC THEORY, 2002, 18 (01) : 51 - 78
[43] On the properties of the periodogram of a stationary long-memory process over different epochs with applications
Reisen, Valderio A.
Moulines, Eric
Soulier, Philippe
Franco, Glaura C.
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2010, 31 (01) : 20 - 36
[44] Lasso with long memory regression errors
Kaul, Abhishek
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2014, 153 : 11 - 26
[45] SMOOTHED PERIODOGRAM ASYMPTOTICS AND ESTIMATION FOR PROCESSES AND FIELDS WITH POSSIBLE LONG-RANGE DEPENDENCE
HEYDE, CC
GAY, R
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1993, 45 (01) : 169 - 182
[46] Estimation of long memory parameter in nonparametric regression
Cho, Yeoyoung
Baek, Changryong
[J]. COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2019, 26 (06) : 611 - 622
[47] NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
Wang, Qiying
Phillips, Peter C. B.
[J]. ECONOMETRIC THEORY, 2016, 32 (02) : 359 - 401
[48] Regression model fitting with long memory errors
Koul, HL
Stute, W
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1998, 71 (1-2) : 35 - 56
[49] Nonparametric regression with long-memory errors
Deo, RS
[J]. STATISTICS & PROBABILITY LETTERS, 1997, 33 (01) : 89 - 94
[50] Nonparametric regression with heteroscedastic long memory errors
Guo, Hongwen
Koul, Hira L.
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2007, 137 (02) : 379 - 404

← 1 2 3 4 5 →