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

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.

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Year of publication:	2001
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Long-memory \| trends \| log-periodogram regression

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Series:	Technical Report ; 2001,39
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	75665016X [GVK] hdl:10419/77150 [Handle] RePEc:zbw:sfb475:200139 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316493