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Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some… Click to show full abstract
Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak consistency and the asymptotic normality of the estimators are obtained. The finite sample performance of the estimators is discussed through a small simulation study.
Keywords:
time varying;
memory parameter;
locally stationary;
long memory;
varying long;
memory
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
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Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!