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

DOI10.1214/20-EJS1742zbMATH Open1451.62099arXiv2001.02579OpenAlexW2999103204MaRDI QIDQ2199705FDOQ2199705

Authors: Paul Doukhan, François Roueff, Joseph Rynkiewicz 

Publication date: 14 September 2020

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

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.

Full work available at URL: https://arxiv.org/abs/2001.02579

Recommendations

• Discrete-time trawl processes
• Inference and forecasting for continuous-time integer-valued trawl processes
• Non‐Parametric Spectral Density Estimation Under Long‐Range Dependence
• Multidimensional spectrum estimation for nonstationary processes
• Large sample properties of spectral estimators for a class of stationary nonlinear processes
• Spectral estimation of continuous-time stationary processes from random sampling
• Trispectral analysis of stationary stochastic processes: Large-sample case
• Estimation of trispectral density of a stationary stochastic process
• A spectral representation of a class of nonstationary processes

zbMATH Keywords

trawl processesinteger-valued time serieslong memory parameter estimation

Mathematics Subject Classification ID

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

Cites Work

• Gaussian semiparametric estimation of long range dependence
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Large sample inference for long memory processes
• Title not available (Why is that?)
• Long-Range Dependence and Self-Similarity
• Weak dependence. With examples and applications.
• Consistent estimation of the memory parameter for nonlinear time series
• Estimation of the memory parameter of the infinite-source Poisson process
• Estimating Long Memory in Volatility
• The estimation of frequency
• Discrete-time trawl processes

Cited In (3)

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

This page was built for publication: Spectral estimation for non-linear long range dependent discrete time trawl processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2199705)