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Estimation of the location and exponent of the spectral singularity of a long memory process

Hidalgo, Javier and Soulier, Philippe (2004) Estimation of the location and exponent of the spectral singularity of a long memory process. Journal of Time Series Analysis, 25 (1). pp. 55-81. ISSN 0143-9782

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Abstract

We consider the estimation of the location of the pole and memory parameter ω0 and d of a covariance stationary process with spectral density. We investigate optimal rates of convergence for the estimators of ω0 and d, and the consequence that the lack of knowledge of ω0 has on the estimation of the memory parameter d. We present estimators which achieve the optimal rates. A small Monte-Carlo study is included to illustrate the finite sample performance of our estimators.

Item Type: Article
Additional Information: © 2004 John Wiley & Sons, Inc.
Library of Congress subject classification: Q Science > Q Science (General)
Q Science > QA Mathematics
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 19 Apr 2011 13:53
URL: http://eprints.lse.ac.uk/35772/

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