Impact of the periodicity and trend on the FD parameter estimation
Research output: Contribution to journal › Article
It is well known that one of the features of long-memory processes is that they tend to have what looks like trends and cycles. A consequence of this property is that it is difficult to distinguish a long-memory process from a nonstationary process. In this paper, we study the impact of the periodicity and trend on different methods for estimating the long-memory processes parameter d.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Journal||Journal of Statistical Computation and Simulation|
|Publication status||Published - 2007|