Efficiency improvements in inference on stationary and nonstationary fractional time series

DOI10.1214/009053605000000354zbMATH Open1078.62096arXivmath/0508284OpenAlexW2051257302MaRDI QIDQ2583420FDOQ2583420

Authors: Peter M. Robinson 

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and an additive deterministic component consisting of a generalized polynomial. The model can thus incorporate competing descriptions of trending behavior. The stationary input to the stochastic component has parametric autocorrelation, but innovation with distribution of unknown form. The model is thus semiparametric, and we develop estimates of the parametric component which are asymptotically normal and achieve an M-estimation efficiency bound, equal to that found in work using an adaptive LAM/LAN approach. A major technical feature which we treat is the effect of truncating the autoregressive representation in order to form innovation proxies. This is relevant also when the innovation density is parameterized, and we provide a result for that case also. Our semiparametric estimates employ nonparametric series estimation, which avoids some complications and conditions in kernel approaches featured in much work on adaptive estimation of time series models; our work thus also contributes to methods and theory for nonfractional time series models, such as autoregressive moving averages. A Monte Carlo study of finite sample performance of the semiparametric estimates is included.

Full work available at URL: https://arxiv.org/abs/math/0508284

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zbMATH Keywords

fractional processesadaptive estimationseries estimationnonstationary processes\(M\)-estimationefficient semiarametric estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited In (19)

• Efficient closed-form estimation of large spatial autoregressions
• INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS
• Truncated sum of squares estimation of fractional time series models with deterministic trends
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Testing for a break in trend when the order of integration is unknown
• An I(\(d\)) model with trend and cycles
• Inference on nonstationary time series with moving mean
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
• Adaptive inference on pure spatial models
• Order selection and inference with long memory dependent data
• Efficient estimation of the semiparametric spatial autoregressive model
• Robust testing of time trend and mean with unknown integration order errors
• Adaptive estimation in multiple time series with independent component errors
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Nonparametric specification testing via the trinity of tests
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Spatial long memory
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models

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