Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/32184 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorBeran, Janen
dc.date.accessioned2009-09-16-
dc.date.accessioned2010-05-14T12:00:44Z-
dc.date.available2010-05-14T12:00:44Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:bsz:352-opus-116694en
dc.identifier.urihttp://hdl.handle.net/10419/32184-
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x07/13en
dc.subject.ddc330en
dc.subject.keywordlong memoryen
dc.subject.keywordfractional ARIMA processen
dc.subject.keywordlocal stationarityen
dc.subject.keywordbandwidth selectionen
dc.titleOn parameter estimation for locally stationary long-memory processes-
dc.type|aWorking Paperen
dc.identifier.ppn608932884en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0713-

Datei(en):
Datei
Größe
439.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.