Discrete Fourier Transforms of Fractional Processes August
Discrete Fourier transforms (dft's) of fractional processes are studied and a exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter d > 1/2. Various asymptotic approximations are suggested. It is shown that smoothed periodogram spectral estimates remain consistent for frequencies away from the origin in the nonstationary case provided the memory parameter d < 1. When d = 1, the spectral estimates are inconsistent and converge weakly to random variates. Applications of the theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified versions of these procedures are suggested.
|Date of creation:||1999|
|Contact details of provider:|| Postal: Private Bag 92019, Auckland|
Phone: 64-9-373 7599 extn: 87661
Fax: 64-9-373 7427
Web page: http://www.econ.auckland.ac.nz/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:auc:wpaper:149. 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: (Library Digital Development)
If references are entirely missing, you can add them using this form.