2011-04-01, English, Article, Journal or magazine article edition: Locally stationary long memory estimation. Roueff, FrancOis; Von Sachs, Rainer

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2011 April
Language
  • English

Edition details

Title
  • Locally stationary long memory estimation.
Appears In
  • Stochastic Processes and their Applications, v.121, no.4, 2011 April, p.813(32) (ISSN: 0304-4149)
Author
  • Roueff, FrancOis
  • Von Sachs, Rainer
Published
  • Elsevier B.V., 2011 April
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.spa.2010.12.004 Byline: Francois Roueff, Rainer von Sachs Abstract: There exists a wide literature on parametrically or semi-parametrically modelling strongly dependent time series using a long-memory parameter d, including more recent work on wavelet estimation. As a generalization of these latter approaches, in this work we allow the long-memory parameter d to be varying over time. We adopt a semi-parametric approach in order to avoid fitting a time-varying parametric model, such as tvARFIMA, to the observed data. We study the asymptotic behavior of a local log-regression wavelet estimator of the time-dependent d. Both simulations and a real data example complete our work on providing a fairly general approach. Article History: Received 7 April 2010; Revised 8 October 2010; Accepted 7 December 2010
Terms of Use
  • COPYRIGHT 2011 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 249159665

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