Semiparametric estimation for stationary processes whose spectra have an unknown pole
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Publication:2583421
Abstract: We consider the estimation of the location of the pole and memory parameter, lambda ^0 and alpha, respectively, of covariance stationary linear processes whose spectral density function f(lambda) satisfies f(lambda)sim C| lambda -lambda ^0| ^{-alpha} in a neighborhood of lambda ^0. We define a consistent estimator of lambda ^0 and derive its limit distribution Z_{lambda ^0}. As in related optimization problems, when the true parameter value can lie on the boundary of the parameter space, we show that Z_{lambda ^0} is distributed as a normal random variable when lambda ^0in (0,pi), whereas for lambda ^0=0 or pi, Z_{lambda ^0} is a mixture of discrete and continuous random variables with weights equal to 1/2. More specifically, when lambda ^0=0, Z_{lambda ^0} is distributed as a normal random variable truncated at zero. Moreover, we describe and examine a two-step estimator of the memory parameter alpha, showing that neither its limit distribution nor its rate of convergence is affected by the estimation of lambda ^0. Thus, we reinforce and extend previous results with respect to the estimation of alpha when lambda ^0 is assumed to be known a priori. A small Monte Carlo study is included to illustrate the finite sample performance of our estimators.
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