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Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

Hurvich, Clifford; Lang, Gabriel; Soulier, Philippe - In: Journal of the American Statistical Association 100 (2005) September, pp. 853-871

Persistent link: https://www.econbiz.de/10005238599

Convergence de mesures spectrales aléatoires et applications à des principes d'invariance

Lang, Gabriel; Soulier, Philippe - In: Statistical Inference for Stochastic Processes 3 (2000) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10005391487

Estimation of long memory in the presence of a smooth nonparametric trend

Hurvich, Clifford M.; Lang, Gabriel; Soulier, Philippe - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 853-871

Persistent link: https://www.econbiz.de/10003107722

Theory and Methods - Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

Hurvich, Clifford; Lang, Gabriel; Soulier, Philippe - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 853-871

Persistent link: https://www.econbiz.de/10006606303

Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

Hurvich, Clifford M. - 2008

We consider semi parametric estimation of the long-memory parameter of a stationaryprocess in the presence of an additive nonparametric mean function. We use a semi parametric Whittle type estimator, applied to the tapered, differenced series. Since the mean function is not necessarily...

Persistent link: https://www.econbiz.de/10012769159