Differencing as an approximate de-trending device

DOI10.1016/0304-4149(89)90091-4MaRDI QIDQ1117657zbMATH OpenOpenAlexFDO

Authors J. D. Hart

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90091-4

zbMATH Keywords

consistent estimatorscovariance estimationFourier coefficientskernel regressionperiodogramspectrumstrictly stationary processTaperingtime series

Mathematics Subject Classification ID

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

Review text

Consider the model \(y_ j=f(j/n)+\epsilon_ j\), \(j=1,...,n\), where the \(y_ j's\) are observed, f is a smooth but unknown function, and the \(\epsilon_ j's\) are unobserved errors from a zero mean, strictly stationary process. The problem addressed is that of estimating the covariance function \(c(k)=E(\epsilon_ 0\epsilon_ k)\) from the observations \(y_ 1,...,y_ n\) without benefit of an initial estimate of f. It is shown that under appropriate conditions on f and the error process, \(\sqrt{n}\) consistent estimators of c(k) can be constructed from second differences of the observed data. The estimators of c(k) utilize only periodogram ordinates at frequencies greater than some small positive number \(\delta\) that tends to 0 as \(n\to \infty\). Tapering the differenced data plays a crucial role in constructing an efficient estimator of c(k).

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Cites work

• A functional limit theorem for tapered empirical spectral functions
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• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Residual variance and residual pattern in nonlinear regression
• SPECTRAL ANALYSIS WITH TAPERED DATA
• The maximum of the periodogram

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• Estimating fractional cointegration in the presence of polynomial trends
• Detecting objects hidden in the subsoil by a mathematical method.
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• Seasonality analysis of time series in partial linear models

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