Impact of the periodicity and trend on the FD parameter estimation

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

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.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Sannolikhetsteori och statistik

Nyckelord

Originalspråkengelska
Sidor (från-till)79-87
TidskriftJournal of Statistical Computation and Simulation
Volym77
Utgåva nummer1
StatusPublished - 2007
PublikationskategoriForskning
Peer review utfördJa