Publication: Optimal Spectral Bandwidth for Long Memory
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1996
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International Chinese Statistical Association
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Abstract
For 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
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long range dependece, spectrum, self simirality parametri, semiparametric stimation, optimal bandwidth choice, ARFIMA models
Bibliographic citation
Statistica Sinica. 1996, vol. 6, nº 1, p. 97-112