Log-average periodogram estimator of the memory parameter
Statistics Theory
2007-12-06 v1 Statistics Theory
Abstract
This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The proposed estimator is theoretically justified and empirical Monte Carlo investigation gives evidence that the method is very promising to estimate the long-memory parameter.
Cite
@article{arxiv.0712.0814,
title = {Log-average periodogram estimator of the memory parameter},
author = {Valderio Reisen and Eric Moulines and Philippe Soulier and Glaura Franco},
journal= {arXiv preprint arXiv:0712.0814},
year = {2007}
}
Comments
20 pages