منابع مشابه
Nonstationarity-extended Whittle Estimation
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework includes the widely used FARIMA models with GARCH-type innovations. To cover nonstationary fractionally integrated processes, we extend the idea of Abadir, Distaso and Giraitis (2007, Journal of Econometrics 141, 13531384)...
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The egalitarian processor sharing model is viewed as a restless bandit and its Whittle indexability is established. A numerical scheme for computing the Whittle indices is provided, along with supporting numerical experiments.
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Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter ( ), at the frequency of principal interest, zero; for short memory series = 0 automatically. The latter case has also been stressed under long memory, along with the "fractional di¤erencing" case =( 2 1) =2; where 1; 2 are the memory parameters of the two series. We develop time domain co...
متن کاملExact 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 ...
متن کاملWhittle Estimation of Exponential Volatility Models
The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Among many models of interest, this class includes one-shock models, such as the EGARCH model of Nelson (1991), and two-shock models, such as the SV model of Taylor (1986). The variable of interest might not have finite fractional moment of an...
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ژورنال
عنوان ژورنال: Nature
سال: 1996
ISSN: 0028-0836,1476-4687
DOI: 10.1038/383027a0