The Annals of Statistics

Gaussian Semiparametric Estimation of Long Range Dependence

P. M. Robinson

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Abstract

Assuming the model $f(\lambda) \sim G\lambda^{1-2H}$, as $\lambda \rightarrow 0 +$, for the spectral density of a covariance stationary process, we consider an estimate of $H \in (0, 1)$ which maximizes an approximate form of frequency domain Gaussian likelihood, where discrete averaging is carried out over a neighbourhood of zero frequency which degenerates slowly to zero as sample size tends to infinity. The estimate has several advantages. It is shown to be consistent under mild conditions. Under conditions which are not greatly stronger, it is shown to be asymptotically normal and more efficient than previous estimates. Gaussianity is nowhere assumed in the asymptotic theory, the limiting normal distribution is of very simple form, involving a variance which is not dependent on unknown parameters, and the theory covers simultaneously the cases $f(\lambda) \rightarrow \infty, f(\lambda) \rightarrow 0$ and $f(\lambda) \rightarrow C \in (0, \infty)$, as $\lambda \rightarrow 0$. Monte Carlo evidence on finite-sample performance is reported, along with an application to a historical series of minimum levels of the River Nile.

Article information

Source
Ann. Statist., Volume 23, Number 5 (1995), 1630-1661.

Dates
First available in Project Euclid: 11 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176324317

Digital Object Identifier
doi:10.1214/aos/1176324317

Mathematical Reviews number (MathSciNet)
MR1370301

Zentralblatt MATH identifier
0843.62092

JSTOR
links.jstor.org

Subjects
Primary: 62M15: Spectral analysis
Secondary: 62G05: Estimation 60G18: Self-similar processes

Keywords
Long range dependence Gaussian estimation

Citation

Robinson, P. M. Gaussian Semiparametric Estimation of Long Range Dependence. Ann. Statist. 23 (1995), no. 5, 1630--1661. doi:10.1214/aos/1176324317. https://projecteuclid.org/euclid.aos/1176324317


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