Efficiency in estimation of memory

DOI10.1016/J.JSPI.2010.04.046zbMATH Open1233.62057OpenAlexW3122523283MaRDI QIDQ993829FDOQ993829

Authors: Willa W. Chen 

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.046

Recommendations

• Adaptive semiparametric estimation of the memory parameter.
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• An efficient taper for potentially overdifferenced long-memory time series

zbMATH Keywords

taperingperiodogramGaussian semiparametric estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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Cited In (4)

• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• How Efficient Can Memory Checking Be?

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