Authors: Sibbertsen, Philipp
Title: Log-Periodogram estimation of the memory parameter of a long-memory process under trend
Language (ISO): en
Abstract: We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard log-periodogram methodology.
Subject Headings: long-memory
trends
log-periodogram regression
URI: http://hdl.handle.net/2003/5263
http://dx.doi.org/10.17877/DE290R-15217
Issue Date: 2001
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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