Locally stationary long memory estimation

Details Locally stationary long memory estimation Locally stationary long memory estimation

2009-07-29

arxiv.org/abs/0907.5151v2

Mathematics

Statistics Theory

Scientific paper

There exists a wide literature on modelling strongly dependent time series using a longmemory parameter d, including more recent work on semiparametric wavelet estimation. As a generalization of these latter approaches, in this work we allow the long-memory parameter d to be varying over time. We embed our approach into the framework of locally stationary processes. We show weak consistency and a central limit theorem for our log-regression wavelet estimator of the time-dependent d in a Gaussian context. Both simulations and a real data example complete our work on providing a fairly general approach.

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