Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity

DOI10.1111/1467-9892.00234MaRDI QIDQ2744934zbMATH OpenOpenAlexFDO

Authors Marc Henry

Publication date 9 October 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00234

zbMATH Keywords

consistencylong-memory indexRobinson estimatorspectral density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

A covariance stationary process is considered described by the model \[ x_t=E(X_t)+\sum_{j=0}^\infty \alpha_j\varepsilon_{t-j},\qquad \alpha_0=1,\quad \sum_{j=0}^\infty\alpha_j^2<\infty, \] \(E(\varepsilon_t |{\mathcal F}_{t-1})=0\), \(E(\varepsilon^2_t |{\mathcal F}_{t-1})=\sigma^2_t\) a.s., where \(\sigma_t^2=\beta+\sum_{j=1}^\infty \psi_j\widetilde\varepsilon^2_{t-j}\), and \(\widetilde\varepsilon_j\) are i.i.d. For such processes an averaged periodogram \(\widehat f(0)=m^{-1}\sum_{j=1}^m I_x(2\pi j/n)\) is considered (\(I_x(\lambda)\) being the periodogram of \(x_t\), \(t=1,\dots,n\)) as an estimator of the spectral density \(f(0)\) of \(x_t\). The long-memory case \(f(\lambda)\sim L(1/\lambda)\lambda^{-2d}\) is investigated, where \(L\) is a slowly varying function, \(0<d<1/2\). Results on consistency of \(\widehat f(0)\) and asymptotic expansions are derived in terms of coefficients \(\psi_j\), index \(d\) and moments of \(\widetilde\varepsilon_j\). The Robinson estimator \(\widehat d_x\) for \(d\) is considered and its consistency is demonstrated. Results of simulations are presented.

Recommendations

• Estimation spectrale avec mémoire longue et hétéroscédasticité conditionnelle
• Averaged periodogram estimation of long memory
• The averaged periodogram estimator for a power law in coherency
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Estimation of the location and exponent of the spectral singularity of a long memory process

Cited in

(16)

• Record length requirement of long-range dependent teletraffic
• Averaged periodogram estimation of long memory
• Minimum distance estimation of ARFIMA processes
• Modelling structural breaks, long memory and stock market volatility: an overview
• A limit theorem for quadratic forms and its applications
• The averaged periodogram estimator for a power law in coherency
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• scientific article; zbMATH DE number 724880 (Why is no real title available?)
• Learning of periodic signals-an averaging analysis
• Analysis of the correlation structure of square time series
• Estimation spectrale avec mémoire longue et hétéroscédasticité conditionnelle
• scientific article; zbMATH DE number 3999074 (Why is no real title available?)
• On the Autocorrelation Properties of Long‐Memory GARCH Processes
• Autoregressive spectral estimates under ignored changes in the mean
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
• The average periodogram for nonstationary vector time series

This page was built for publication: Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2744934)