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August 2005 Exact local Whittle estimation of fractional integration
Katsumi Shimotsu, Peter C. B. Phillips
Ann. Statist. 33(4): 1890-1933 (August 2005). DOI: 10.1214/009053605000000309

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 $N(0,\frac{1}{4})$ limit distribution for all values of d if the optimization covers an interval of width less than $\frac{9}{2}$ and the initial value of the process is known.

Citation

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Katsumi Shimotsu. Peter C. B. Phillips. "Exact local Whittle estimation of fractional integration." Ann. Statist. 33 (4) 1890 - 1933, August 2005. https://doi.org/10.1214/009053605000000309

Information

Published: August 2005
First available in Project Euclid: 5 August 2005

zbMATH: 1081.62069
MathSciNet: MR2166565
Digital Object Identifier: 10.1214/009053605000000309

Subjects:
Primary: 62M10

Rights: Copyright © 2005 Institute of Mathematical Statistics

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Vol.33 • No. 4 • August 2005
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