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

Martínez, CristinaVelilla Cerdan, SantiagoUniversidad Carlos III de Madrid. Departamento de Estadística2011-03-082011-03-081996-03https://hdl.handle.net/10016/10428Previous 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.application/octet-streamapplication/octet-streamapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaAutocorrelation functionFractional ARIMA modelsTrimming frequencies in log-periodogram regression of long memory time seriesworking paperEstadísticaopen access