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Impact of the periodicity and trend on the FD parameter estimation

På svenska

Author

Summary, in English

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.

Publishing year

2007

Language

English

Pages

79-87

Publication/Series

Journal of Statistical Computation and Simulation

Volume

77

Issue

1

Document type

Journal article

Publisher

Taylor & Francis

Topic

  • Probability Theory and Statistics

Keywords

  • discrete wavelet transform
  • periodicity
  • trend
  • long-memory

Status

Published

ISBN/ISSN/Other

  • ISSN: 1563-5163