Whittle pseudo-maximum likelihood estimation for nonstationary time series

e-Archivo Repository

Show simple item record

dc.contributor.author Velasco, Carlos
dc.contributor.author Robinson, Peter M.
dc.date.accessioned 2009-06-16T13:21:40Z
dc.date.available 2009-06-16T13:21:40Z
dc.date.issued 2000-12
dc.identifier.bibliographicCitation Journal of the American Statistical Association. 2000, vol. 95, nº 452, p. 1229-1243
dc.identifier.issn 0162-1459
dc.identifier.uri http://hdl.handle.net/10016/4434
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher American Statistical Association
dc.rights © American Statistical Association
dc.subject.other Frequency domain estimation
dc.subject.other Long-range dependence
dc.subject.other Nonstationary fractional models
dc.subject.other Nonstationary long memory time series
dc.subject.other Tapering
dc.title Whittle pseudo-maximum likelihood estimation for nonstationary time series
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www.jstor.org/stable/2669763
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)


This item appears in the following Collection(s)

Show simple item record