Differencing as an approximate de-trending device
Consider the model yj = [latin small letter f with hook](j/n) + [var epsilon]j, J = 1,..., n, where the yj's are observed, [latin small letter f with hook] is a smooth but unknown function, and the [var epsilon]j's are unobserved errors from a zero mean, strictly stationary process. The problem addressed is that of estimating the covariance function c(k) = E([var epsilon]0[var epsilon]k) from the observations y1,..., yn without benefit of an initial estimate of [latin small letter f with hook]. It is shown that under appropriate conditions on [latin small letter f with hook] and the error process, consistent estimators of c(k) can be constructed from second differences of the observed data. The estimators of c(k) utilize only periodogram ordinates at frequencies greater than some small positive number [delta] that tends to 0 as n --> [infinity]. Tapering the differenced data plays a crucial role in constructing an efficient estimator of c(k)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 31 (1989)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:31:y:1989:i:2:p:251-259. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.