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

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)

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.

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Cites work

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Cited in

(3)

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

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