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http://hdl.handle.net/10016/3738
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| ws933424.pdf | -- 2009-02-20 -- Available on Internet -- preprint | 538,17 kB | Adobe PDF | |  |
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| Title: | Optimal spectral bandwidth for long memory |
| Author(s): | Delgado, Miguel A. [delgado]
Robinson, Peter M. |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Nov-1993 |
| URI: | http://hdl.handle.net/10016/3738 |
| Abstract: | For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis ofthe singularity was developed by Robinson (1991b). The optimal bandwidths are described and compared with those in case of analysis 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 discussed. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics;
1993-34-24 |
| Keywords: | Long range dependence
Spectrum
Self similarity parameter
Semiparametric estimation
Optimal bandwidth choice
ARFIMA models |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
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