Exact local Whittle estimation of fractional integration
Katsumi Shimotsu and Peter C. B. Phillips
Source: Ann. Statist. Volume 33, Number 4
(2005), 1890-1933.
Abstract
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same limit distribution for all values of d if the optimization covers an interval of width less than
and the initial value of the process is known.
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Primary Subjects:
62M10
Keywords: Discrete Fourier transform; fractional integration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1123250232
Digital Object Identifier: doi:10.1214/009053605000000309
Mathematical Reviews number (MathSciNet): MR2166565
Zentralblatt MATH identifier: 1081.62069
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