Estimation of seasonal long-memory parameters
Statistics Theory
2018-05-31 v1 Statistics Theory
Abstract
This paper studies seasonal long-memory processes with Gegenbauer-type spectral densities. Estimates for singularity location and long-memory parameters based on general filter transforms are proposed. It is proved that the estimates are almost surely convergent to the true values of parameters. Solutions of the estimation equations are studied and adjusted statistics are proposed. Numerical results are presented to confirm the theoretical findings.
Keywords
Cite
@article{arxiv.1805.11905,
title = {Estimation of seasonal long-memory parameters},
author = {Huda Mohammed Alomari and Antoine Ayache and Myriam Fradon and Andriy Olenko},
journal= {arXiv preprint arXiv:1805.11905},
year = {2018}
}
Comments
29 pages, 8 figures