Log-Periodogram estimation of the memory parameter of a long-memory process under trend

dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:50:42Z
dc.date.available	2004-12-06T18:50:42Z
dc.date.issued	2001	de
dc.description.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.	en
dc.format.extent	214245 bytes
dc.format.extent	76986 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5263
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15217
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	long-memory	en
dc.subject	trends	en
dc.subject	log-periodogram regression	en
dc.subject.ddc	310	de
dc.title	Log-Periodogram estimation of the memory parameter of a long-memory process under trend	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access
eldorado.dnb.deposit	true

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