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dc.contributor.authorBeran, Janen_US
dc.description.abstractWe 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.en_US
dc.publisher|aCoFE |cKonstanzen_US
dc.relation.ispartofseries|aDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz |x2007,13en_US
dc.subject.keywordlong memoryen_US
dc.subject.keywordfractional ARIMA processen_US
dc.subject.keywordlocal stationarityen_US
dc.subject.keywordbandwidth selectionen_US
dc.titleOn parameter estimation for locally stationary long-memory processesen_US
dc.type|aWorking Paperen_US

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