Log-average periodogram estimator of the memory parameter

Details Log-average periodogram estimator of the memory parameter Log-average periodogram estimator of the memory parameter

2007-12-05

arxiv.org/abs/0712.0814v1

Mathematics

Statistics Theory

20 pages

Scientific paper

This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The proposed estimator is theoretically justified and empirical Monte Carlo investigation gives evidence that the method is very promising to estimate the long-memory parameter.

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