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Optimal Spectral Bandwidth for Long Memory

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorRobinson, Peter M.
dc.date.accessioned2009-04-01T11:35:09Z
dc.date.available2009-04-01T11:35:09Z
dc.date.issued1996
dc.description.abstractFor long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis of the singularity was developed by Robinson (1994a). In the present paper, the optimal bandwidths are compared with those in case of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data-dependent approximations to the optimal bandwidth are proposed. We also include some applications using real data
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationStatistica Sinica. 1996, vol. 6, nº 1, p. 97-112
dc.identifier.issn1017-0405
dc.identifier.urihttps://hdl.handle.net/10016/2425
dc.language.isoeng
dc.language.isoeng
dc.publisherInternational Chinese Statistical Association
dc.relation.publisherversionhttp://www3.stat.sinica.edu.tw/statistica/j6n1/j6n16/j6n16.htm
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherlong range dependece
dc.subject.otherspectrum
dc.subject.otherself simirality parametri
dc.subject.othersemiparametric stimation
dc.subject.otheroptimal bandwidth choice
dc.subject.otherARFIMA models
dc.titleOptimal Spectral Bandwidth for Long Memory
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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