Robinson, Peter (1994) Semiparametric analysis of long memory time series. Annals of Statistics, 22 (1). pp. 515-539. ISSN 0090-5364
Full text not available from this repository.Abstract
We study problems of semiparametric statistical inference connected with long-memory covariance stationary time series, having spectrum which varies regularly at the origin: There is an unknown self-similarity parameter, but elsewhere the spectrum satisfies no parametric or smoothness conditions, it need not be in $L_p$, for any $p > 1$, and in some circumstances the slowly varying factor can be of unknown form. The basic statistic of interest is the discretely averaged periodogram, based on a degenerating band of frequencies around the origin. We establish some consistency properties under mild conditions. These are applied to show consistency of new estimates of the self-similarity parameter and scale factor. We also indicate applications of our results to standard errors of least squares estimates of polynomial regression with long-memory errors, to generalized least squares estimates of this model and to estimates of a "cointegrating" relationship between long-memory time series
| Item Type: | Article |
|---|---|
| Official URL: | http://imstat.org/ |
| Divisions: | LSE |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 21:01 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1422 |
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