Exact local Whittle estimation of fractional integration
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Publication:2583422
DOI10.1214/009053605000000309zbMATH Open1081.62069arXivmath/0508286OpenAlexW3123103961MaRDI QIDQ2583422FDOQ2583422
Peter C. B. Phillips, Katsumi Shimotsu
Publication date: 16 January 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0,{1/4}) limit distribution for all values of d if the optimization covers an interval of width less than {9/2} and the initial value of the process is known.
Full work available at URL: https://arxiv.org/abs/math/0508286
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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