Publication:
Optimal spectral bandwidth for long memory

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorRobinson, Peter M.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-02-20T12:33:30Z
dc.date.available2009-02-20T12:33:30Z
dc.date.issued1993-11
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 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.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/3738
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics;
dc.relation.ispartofseries1993-34-24
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherLong range dependence
dc.subject.otherSpectrum
dc.subject.otherSelf similarity parameter
dc.subject.otherSemiparametric estimation
dc.subject.otherOptimal bandwidth choice
dc.subject.otherARFIMA models
dc.titleOptimal spectral bandwidth for long memory
dc.typeworking paper*
dspace.entity.typePublication
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