Asymptotic normality of simultaneous estimators of cyclic long-memory processes

DOI10.1214/21-EJS1953zbMATH Open1498.62175arXiv2011.06229OpenAlexW3101468932MaRDI QIDQ2136603FDOQ2136603

Myriam Fradon, Antoine Ayache, Andriy Olenko, Ravindi Nanayakkara

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2011.06229

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zbMATH Keywords

asymptotic normalitycentral limit theoremfilterwaveletcyclic long-memoryestimators of parameters

Mathematics Subject Classification ID

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)

Cites Work

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Cited In (8)

• STOCHASTIC MODELLING AND STATISTICAL ANALYSIS OF SPATIAL AND LONG-RANGE DEPENDENT DATA
• Marginal density estimation for linear processes with cyclical long memory
• Estimation methods for stationary Gegenbauer processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Title not available (Why is that?)
• Inference for estimators of generalized long memory processes
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• Gaussian approximation for the moving averaged modulus wavelet transform and its variants

Uses Software

• Waveslim

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