Filtered Log-periodogram Regression of long memory processes

Feng, Yuanhua; Beran, Jan

Filtered Log-periodogram Regression of long memory processes

Dateien

Filtered_Feng.pdfGröße: 203.11 KBDownloads: 274

Datum

2008

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

Filtering, log-periodogram regression, local pre-whitening, fractional differencing parameter, long memory

Zitieren

ISO 690

FENG, Yuanhua, Jan BERAN, 2008. Filtered Log-periodogram Regression of long memory processes

BibTex

@techreport{Feng2008Filte-614,
  year={2008},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Filtered Log-periodogram Regression of long memory processes},
  number={2008/10},
  author={Feng, Yuanhua and Beran, Jan}
}

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Universitätsbibliographie

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