Asymptotic normality of simultaneous estimators of cyclic long-memory processes
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Publication:2136603
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields (60G60) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)
Abstract: Spectral singularities at non-zero frequencies play an important role in investigating cyclic or seasonal time series. The publication [2] introduced the generalized filtered method-of-moments approach to simultaneously estimate singularity location and long-memory parameters. This paper continues studies of these simultaneous estimators. A wide class of Gegenbauer-type semi-parametric models is considered. Asymptotic normality of several statistics of the cyclic and long-memory parameters is proved. New adjusted estimates are proposed and investigated. The theoretical findings are illustrated by numerical results. The methodology includes wavelet transformations as a particular case.
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Cited in
(9)- Marginal density estimation for linear processes with cyclical long memory
- Estimation methods for stationary Gegenbauer processes
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- Estimation of cyclic long-memory parameters
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