Exact local Whittle estimation of fractional integration
نویسندگان
چکیده
منابع مشابه
Exact Local Whittle Estimation of Fractional Integration∗
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0, 1 4 ) limit distribution for all values of d if the optimization covers an interval of ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2005
ISSN: 0090-5364
DOI: 10.1214/009053605000000309