Log-average periodogram estimator of the memory parameter
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Publication:6207747
arXiv0712.0814MaRDI QIDQ6207747FDOQ6207747
Authors: Valdério Anselmo Reisen, Eric Moulines, Philippe Soulier, Glaura C. Franco 
Publication date: 5 December 2007
Abstract: This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The proposed estimator is theoretically justified and empirical Monte Carlo investigation gives evidence that the method is very promising to estimate the long-memory parameter.
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