Optimal spectral bandwidth for long memory

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Robinson, Peter M.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-02-20T12:33:30Z
dc.date.available 2009-02-20T12:33:30Z
dc.date.issued 1993-11
dc.identifier.uri http://hdl.handle.net/10016/3738
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.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.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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 workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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