Spectral estimation for non-linear long range dependent discrete time trawl processes

DOI10.1214/20-EJS1742MaRDI QIDQ2199705zbMATH OpenOpenAlexFDO

Authors Paul Doukhan, François Roueff, Joseph Rynkiewicz

Publication date 14 September 2020

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

Full work available at URL https://arxiv.org/abs/2001.02579, https://projecteuclid.org/euclid.ejs/1597996811

zbMATH Keywords

integer-valued time serieslong memory parameter estimationtrawl processes

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Discrete time trawl processes constitute a large class of time series parameterized by a trawl sequence (a j) j$in$N and defined though a sequence of independent and identically distributed (i.i.d.) copies of a continuous time process ($gamma$(t)) t$in$R called the seed process. They provide a general framework for modeling linear or non-linear long range dependent time series. We investigate the spectral estimation, either pointwise or broadband, of long range dependent discrete-time trawl processes. The difficulty arising from the variety of seed processes and of trawl sequences is twofold. First, the spectral density may take different forms, often including smooth additive correction terms. Second, trawl processes with similar spectral densities may exhibit very different statistical behaviors. We prove the consistency of our estimators under very general conditions and we show that a wide class of trawl processes satisfy them. This is done in particular by introducing a weighted weak dependence index that can be of independent interest. The broadband spectral estimator includes an estimator of the long memory parameter. We complete this work with numerical experiments to evaluate the finite sample size performance of this estimator for various integer valued discrete time trawl processes.

Review text

A discrete time trawl process \(X = {X_k}\), \(k \in \mathbb Z\), is defined by \[ X_k \sum^\infty_{j=0} \gamma_{k-j} (a_j ), \, k \in \mathbb{Z}. \] Discrete time trawl processes constitute a large class of time series parameterized by a trawl sequence \((a_j )_j \in \mathbb N\) and defined through a sequence of independent and identically distributed (i.i.d.) copies of a continuous time process \((\gamma(t))\), \( t \in \mathbb R\), called the seed process. They provide various examples of trawl processes. Although the usual causal linear models for long range dependence (such as ARFIMA processes) constitute specific examples of trawl processes, they here focus on the nonlinear models, and specify simple sufficient conditions implying the assumptions used in the general results. The proofs of the results are presented. Finally, they present numerical experiments focusing on the estimation of the long memory parameter \(d^{*}\) comparing their approach to the more classical local Whittle estimator, which is known to perform well for standard linear models.

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Cites work

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• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Large sample inference for long memory processes
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Cited in

(3)

• Limit theorems for trawl processes
• Discrete-time trawl processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets

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