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Optimal spectral kernel for long-range dependent time series

Author

Listed:
  • Delgado, Miguel A.
  • Robinson, Peter M.

Abstract

We derive an optimal kernel K([lambda]) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K([lambda]) --> 0 as [lambda] --> 0.

Suggested Citation

  • Delgado, Miguel A. & Robinson, Peter M., 1996. "Optimal spectral kernel for long-range dependent time series," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 37-43, September.
    • Handle: RePEc:eee:stapro:v:30:y:1996:i:1:p:37-43
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    Cited by:

    1. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    2. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.

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