Log-average periodogram estimator of the memory parameter
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.
- Publication:
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arXiv e-prints
- Pub Date:
- December 2007
- DOI:
- 10.48550/arXiv.0712.0814
- arXiv:
- arXiv:0712.0814
- Bibcode:
- 2007arXiv0712.0814R
- Keywords:
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- Mathematics - Statistics;
- 60G10;
- G0G18
- E-Print:
- 20 pages