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
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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. |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Collections > Economists Online Departments > Economics |
| Date Deposited: | 15 Feb 2008 |
| URL: | http://eprints.lse.ac.uk/297/ |
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