Giraitis, L, Hidalgo, J and Robinson, Peter M.
(2001)
Gaussian estimation of parametric spectral density with unknown pole.
Annals of Statistics, 29 (4).
pp. 987-1023.
ISSN 0090-5364
Abstract
We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency !. The case of known !, especially ! = 0, is standard in the long memory literature. When ! is unknown, asymptotic distribution theory for estimates of parameters, including the (long) memory parameter, is significantly harder. We study a form of Gaussian estimate. We establish n ¡ consistency of the estimate of !, and discuss its (non-standard) limiting distributional behaviour. For the remaining parameter estimates, we establish P--n- consistency and asymptotic normality.
| Item Type: |
Article
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| Official URL: |
http://www.imstat.org/aos/ |
| Additional Information: |
Published 2001 © Institute of Mathematical Statistics. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website. |
| Divisions: |
Economics |
| Subjects: |
H Social Sciences > HA Statistics |
| Date Deposited: |
15 Feb 2008 |
| Last Modified: |
13 Nov 2024 00:07 |
| URI: |
http://eprints.lse.ac.uk/id/eprint/297 |
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