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Gaussian estimation of parametric spectral density with unknown pole

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
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
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 15 Feb 2008
URL: http://eprints.lse.ac.uk/297/

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