Multiple local Whittle estimation in stationary systems

DOI10.1214/07-AOS545zbMATH Open1274.62565arXiv0811.0948MaRDI QIDQ955151FDOQ955151

Peter M. Robinson

Publication date: 18 November 2008

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

Abstract: Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter $(gamma)$, at the frequency of principal interest, zero; for short-memory series $gamma=0$ automatically. The latter case has also been stressed under long memory, along with the ``fractional differencing case $gamma=(delt{a}_2-delt{a}_1)pi/2$, where $delt{a}_1$, $delt{a}_2$ are the memory parameters of the two series. We develop time domain conditions under which these are and are not relevant, and relate the consequent properties of cross-autocovariances to ones of the (possibly bilateral) moving average representation which, with martingale difference innovations of arbitrary dimension, is used in asymptotic theory for local Whittle parameter estimates depending on a single smoothing number. Incorporating also a regression parameter $$ which, when nonzero, indicates cointegration, the consistency proof of these implicitly defined estimates is nonstandard due to the $$ estimate converging faster than the others. We also establish joint asymptotic normality of the estimates, and indicate how this outcome can apply in statistical inference on several questions of interest. Issues of implemention are discussed, along with implications of knowing $$ and of correct or incorrect specification of $gamma$, and possible extensions to higher-dimensional systems and nonstationary series.

Full work available at URL: https://arxiv.org/abs/0811.0948

Recommendations

• Exact local Whittle estimation in long memory time series with multiple poles
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Exact local Whittle estimation of fractionally cointegrated systems
• Consistent estimation of the memory parameter for nonlinear time series
• Local Whittle estimation of long-range dependence for functional time series

zbMATH Keywords

asymptotic normalityconsistencyphasesemiparametric estimationcointegrationlong memory

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• A semiparametric two-step estimator in a multivariate long memory model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On large-sample estimation for the mean of a stationary random sequence
• Semiparametric analysis of long-memory time series
• A limit theory for long-range dependence and statistical inference on related models
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Semiparametric estimation of fractional cointegrating subspaces
• Exact local Whittle estimation of fractional integration
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Title not available (Why is that?)
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Narrow-band analysis of nonstationary processes
• Title not available (Why is that?)
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
• Least absolute deviation estimation for all-pass time series models
• Estimating Long Memory in Volatility
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• A Central Limit Theorem for Multilinear Stochastic Process
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

Cited In (39)

• Local Whittle estimation of high-dimensional long-run variance and precision matrices
• Local Whittle estimation of long‐range dependence for functional time series
• Convergence in law to operator fractional Brownian motion of Riemann-Liouville type
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Modeling bivariate long‐range dependence with general phase
• Domain and range symmetries of operator fractional Brownian fields
• Local Whittle estimation in nonstationary and unit root cases.
• Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
• Long-run comovements in East Asian stock market volatility
• Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
• Efficient tapered local Whittle estimation of multivariate fractional processes
• A comparison of semiparametric tests for fractional cointegration
• Exponents of operator self-similar random fields
• Fully modified narrow‐band least squares estimation of weak fractional cointegration
• Convergence in law to operator fractional Brownian motions
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
• The averaged periodogram estimator for a power law in coherency
• Stochastic integral convergence: a white noise calculus approach
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Consistent inference for predictive regressions in persistent economic systems
• Multivariate operator-self-similar random fields
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Operator fractional Brownian motion and martingale differences
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Local Whittle estimation of multi-variate fractionally integrated processes
• Residual-based test for fractional cointegration
• Parametric estimation for Gaussian fields indexed by graphs
• Inference on power law spatial trends
• Nonstationary fractionally integrated functional time series
• Covariance function of vector self-similar processes
• A multivariate test against spurious long memory
• Long memory and long run variation
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Integral representations and properties of operator fractional Brownian motions
• Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Exact local Whittle estimation of fractionally cointegrated systems
• Recent advances in nonstationary time series: a festschrift in honor of Peter C.B. Phillips

This page was built for publication: Multiple local Whittle estimation in stationary systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q955151)