Details
| Original language | English |
|---|---|
| Pages (from-to) | 261-268 |
| Number of pages | 8 |
| Journal | Statistics and Probability Letters |
| Volume | 61 |
| Issue number | 3 |
| Early online date | 1 Nov 2002 |
| Publication status | Published - 1 Feb 2003 |
| Externally published | Yes |
Abstract
We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long memory process do not confuse small trends withlong-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.
Keywords
- Log-periodogram regression, Long memory, Trends
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: Statistics and Probability Letters, Vol. 61, No. 3, 01.02.2003, p. 261-268.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Log-periodogram estimation of the memory parameter of a long-memory process under trend
AU - Sibbertsen, Philipp
N1 - Funding Information: The computational assistance of Klaus Nordhausen and the helpful comments of the unknown referee are gratefully acknowledged. The author thanks the Volkswagenstiftung for financial support.
PY - 2003/2/1
Y1 - 2003/2/1
N2 - We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long memory process do not confuse small trends withlong-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.
AB - We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long memory process do not confuse small trends withlong-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.
KW - Log-periodogram regression
KW - Long memory
KW - Trends
UR - http://www.scopus.com/inward/record.url?scp=0037307569&partnerID=8YFLogxK
U2 - 10.1016/S0167-7152(02)00358-9
DO - 10.1016/S0167-7152(02)00358-9
M3 - Article
AN - SCOPUS:0037307569
VL - 61
SP - 261
EP - 268
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
SN - 0167-7152
IS - 3
ER -