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Optimal design of Fourier estimator in the presence of microstructure noise

Wang, Fangfang - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 708-722

The Fourier estimator of Malliavin and Mancino depends on both sample size and a so-called cutting frequency. The latter controls the number of Fourier coefficients to be included, and it also determines how the Fourier estimator responds to market microstructure noise. By examining the finite...

Persistent link: https://www.econbiz.de/10010776995

Dynamics of the one-dimensional random transverse Ising model with next-nearest-neighbor interactions

Yuan, Xiao-Juan; Kong, Xiang-Mu; Xu, Zhen-Bo; Liu, … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 2, pp. 242-248

-dependent transverse correlation function and the corresponding spectral density are calculated for two typical disordered states. We find …

Persistent link: https://www.econbiz.de/10010590434

RCA models: Joint prediction of mean and volatility

Liang, Y.; Thavaneswaran, A.; Ravishanker, N. - In: Statistics & Probability Letters 83 (2013) 2, pp. 527-533

This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for...

Persistent link: https://www.econbiz.de/10010602922

On the trace approximations of products of Toeplitz matrices

Ginovyan, Mamikon S.; Sahakyan, Artur A. - In: Statistics & Probability Letters 83 (2013) 3, pp. 753-760

The paper establishes error orders for integral limit approximations to the traces of products of Toeplitz matrices generated by integrable real symmetric functions defined on the unit circle. These approximations and the corresponding error bounds are of importance in the statistical analysis...

Persistent link: https://www.econbiz.de/10010616875

On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method

Li, Linyuan; Yao, Shan; Duchesne, Pierre - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 308-327

Test procedures for serial correlation of unknown form with wavelet methods are investigated. A new test statistic is … that the choice of the wavelet function is not critical. Under the null hypothesis of no serial correlation, the asymptotic … alternatives, the wavelet-based method is consistent against serial correlation of unknown form. The test statistic is expected to …

Persistent link: https://www.econbiz.de/10010719658

Nonparametric Beta kernel estimator for long memory time series

BOUEZMARNI, Taoufik; VAN BELLEGEM, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011

The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data....

Persistent link: https://www.econbiz.de/10009002084

Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

Naito, Tomohito; Asai, Kohei; Amano, Tomoyuki; … - In: Statistical Inference for Stochastic Processes 13 (2010) 3, pp. 163-174

Persistent link: https://www.econbiz.de/10008775916

Nonparametric Beta Kernel Estimator for Long Memory Time Series

Bouezmarni, Taoufik; Van Bellegem, Sébastien - Toulouse School of Economics (TSE) - 2009

Persistent link: https://www.econbiz.de/10008643952

Transfer Functions

Pollock, David Stephen - Department of Economics, Leicester University - 2011

In statistical time-series analysis, signal processing and control engineering, a transfer function is a mathematical relationship between a numerical input to a dynamic system and the resulting output. The theory of transfer functions describes how the input/output relationship is affected by...

Persistent link: https://www.econbiz.de/10008799943

A note on using periodogram-based distances for comparing spectral densities

Jentsch, Carsten; Pauly, Markus - In: Statistics & Probability Letters 82 (2012) 1, pp. 158-164

Motivated by a recent paper of Caiado et al. (2009), we investigate testing problems for spectral densities of time series with unequal sample sizes. We thereby focus on analyzing their mathematical properties and illustrate our results in a small simulation study.

Persistent link: https://www.econbiz.de/10011039786