Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach

DOI10.1016/J.JSPI.2020.04.010zbMath1455.62181arXiv1903.07780OpenAlexW2920982119MaRDI QIDQ826961

K. Nadarajah, D. S. Poskitt, Gael M. Martin

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.07780

zbMATH Keywords

cumulantsdiscrete Fourier transformlong memorylog-periodogram regressionbias adjustmentperiodograms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Semiparametric nonlinear log-periodogram regression estimation for perturbed stationary anisotropic long memory random fields

Uses Software

• longmemo

Cites Work

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