Velasco, C and Robinson, Peter (2000) Whittle pseudo-maximum likelihood estimation for nonstationary time series. Journal of the American Statistical Association, 95 (452). 1229 - 1243. ISSN 0162-1459
Full text not available from this repository.Abstract
Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asymptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d we extend these results to include possibly nonstationary (.5 ≤ d < 1) or antipersistent (-.5 < d < 0) observations. Using adequate data tapers, we can apply this estimation technique to any degree of nonstationarity d ≥ .5 without a priori knowledge of the memory of the series. We analyze the performance of the estimates on simulated and real data.
Item Type: | Article |
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Official URL: | https://amstat.tandfonline.com/toc/uasa20/current |
Additional Information: | © 2000 American Statistical Association |
Divisions: | LSE |
Subjects: | H Social Sciences > HA Statistics |
Date Deposited: | 27 Apr 2007 |
Last Modified: | 13 Aug 2024 23:11 |
URI: | http://eprints.lse.ac.uk/id/eprint/1648 |
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