Locally stationary long memory estimation
AbstractThere exists a wide literature on parametrically or semi-parametrically modelling strongly dependent time series using a long-memory parameter d, including more recent work on wavelet estimation. As a generalization of these latter approaches, in this work we allow the long-memory parameter d to be varying over time. We adopt a semi-parametric approach in order to avoid fitting a time-varying parametric model, such as tvARFIMA, to the observed data. We study the asymptotic behavior of a local log-regression wavelet estimator of the time-dependent d. Both simulations and a real data example complete our work on providing a fairly general approach.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 4 (April)
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