Publication: Optimal spectral bandwidth for long memory
dc.affiliation.dpto | UC3M. Departamento de EstadÃstica | es |
dc.contributor.author | Delgado, Miguel A. | |
dc.contributor.author | Robinson, Peter M. | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de EstadÃstica | |
dc.date.accessioned | 2009-02-20T12:33:30Z | |
dc.date.available | 2009-02-20T12:33:30Z | |
dc.date.issued | 1993-11 | |
dc.description.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. | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/3738 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working Papers. Statistics and Econometrics; | |
dc.relation.ispartofseries | 1993-34-24 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | EstadÃstica | |
dc.subject.other | Long range dependence | |
dc.subject.other | Spectrum | |
dc.subject.other | Self similarity parameter | |
dc.subject.other | Semiparametric estimation | |
dc.subject.other | Optimal bandwidth choice | |
dc.subject.other | ARFIMA models | |
dc.title | Optimal spectral bandwidth for long memory | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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