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Title:On parameter estimation for locally stationary long-memory processes PDF Logo
Authors:Beran, Jan
Issue Date:2007
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,13
Abstract:We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the asymptotically optimal bandwidth are obtained. In spite of long memory, the optimal bandwidth turns out to be of the n-1/5 and inversely proportional to the square of the second derivative of d. In this sense, local estimation of d is comparable to regression smoothing with iid residuals.
Subjects:long memory
fractional ARIMA process
local stationarity
bandwidth selection
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-116694
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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