Trimming frequencies in log-periodogram regression of long memory time series

Martínez, Cristina; Velilla Cerdan, Santiago

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Trimming frequencies in log-periodogram regression of long memory time series

Author(s): Martínez, Cristina; Velilla Cerdan, Santiago

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

Issued date: 1996-03

Serie/No.: UC3M Working papers. Statistics and Econometrics
96-14

Keywords: Autocorrelation function , Fractional ARIMA models

URI: http://hdl.handle.net/10016/10428

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

Previous work on log-periodogram regression in time series with long range dependence is reviewed. The effect of both low and large frequencies on the estimate of the fractional difference parameter is analyzed. Some new simulation results are presented. [+]

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