Contiguity of the Whittle measure for a Gaussian time series
نویسندگان
چکیده
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A Wavelet Whittle Estimator of the Memory Parameter of a Non-stationary Gaussian Time Series
We consider a time series X = {Xk, k ∈ Z} with memory parameter d0 ∈ R. This time series is either stationary or can be made stationary after differencing a finite number of times. We study the “Local Whittle Wavelet Estimator” of the memory parameter d0. This is a wavelet-based semiparametric pseudo-likelihood maximum method estimator. The estimator may depend on a given finite range of scales...
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چکیده ندارد.
15 صفحه اولWhittle Pseudo-Maximum Likelihood Estimation of Nonstationary Time Series
where d 2 ( 1 2 ; 1 2 ) is the parameter that governs the degree of memory of the series. This is the interval of values of d for which the process is stationary and invertible. If d 2 (0; 1 2 ) then we say that the series exhibits long memory or long range dependence. When the observations are nonstationary, they are usually di erenced an integer number of times to achieve stationarity. If an ...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2004
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/91.1.211