Publication: Whittle pseudo-maximum likelihood estimation for nonstationary time series
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2000-12
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American Statistical Association
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Abstract
Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asymptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (.5 $\leq d <$ 1) or antipersistent (-.5 $< d <$ 0) observations. Using adequate data tapers, we can apply this estimation technique to any degree of nonstationarity d ≥ .5 without a priori knowledge of the memory of the series. We analyze the performance of the estimates on simulated and real data.
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Frequency domain estimation, Long-range dependence, Nonstationary fractional models, Nonstationary long memory time series, Tapering
Bibliographic citation
Journal of the American Statistical Association. 2000, vol. 95, nº 452, p. 1229-1243