Exact local Whittle estimation of fractional integration
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0,{1/4}) limit distribution for all values of d if the optimization covers an interval of width less than {9/2} and the initial value of the process is known.
Keywords
Cite
@article{arxiv.math/0508286,
title = {Exact local Whittle estimation of fractional integration},
author = {Katsumi Shimotsu and Peter C. B. Phillips},
journal= {arXiv preprint arXiv:math/0508286},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009053605000000309 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)