An Efficient Taper for Potentially Overdifferenced Long-memory Time Series

DOI10.1111/1467-9892.00179zbMath0958.62085MaRDI QIDQ2703252

Willa W. Chen, Clifford M. Hurvich

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/14778

zbMATH Keywords

semiparametric estimation; periodogram; spectral density; long-memory parameter

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62M15: Inference from stochastic processes and spectral analysis

Related Items

Approximate wavelet-based simulation of long memory processes, Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series, The effect of tapering on the semiparametric estimators for nonstationary long memory processes, Moment bounds for non-linear functionals of the periodogram, Efficiency in estimation of memory, Estimating fractional cointegration in the presence of polynomial trends, Edgeworth expansions for semiparametric Whittle estimation of long memory., The FEXP estimator for potentially non-stationary linear time series., Local Whittle estimation in nonstationary and unit root cases., Semiparametric estimation of fractional cointegrating subspaces, A simple test for the equality of integration orders, Exact local Whittle estimation of fractional integration, Impact of the periodicity and trend on the FD parameter estimation, EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND