A frequency domain bootstrap for Whittle estimation under long-range dependence
نویسندگان
چکیده
منابع مشابه
Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent these problems. Instead of approximating the short-run component of the spectrum, φ(λ), by a cons...
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1 The local Whittle (or Gaussian semiparametric) estimator of long range dependence , proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent these problems. Instead of approximating the short-run component of the spectrum, ϕ(λ) by a co...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.10.018