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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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39_01.pdf | DNB | 75.18 kB | Adobe PDF | View/Open |
tr39-01.ps | 209.22 kB | Postscript | View/Open |
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