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 کاملIn Remembrance of Dr. Jared James Grantham, JASN's Founding Editor-in-Chief.
Jared James Grantham, the founding Editor-in-Chief of the Journal of the American Society of Nephrology (JASN), passed away peacefully on January 22, 2017 surrounded by his family and their love, and eulogized by an outpouring of remembrances and tributes as his passing became known. Born (1936), raised, and educated in Kansas, and with a professional career essentially centered at the Universi...
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ژورنال
عنوان ژورنال: The Journal of the Rutgers University Libraries
سال: 2012
ISSN: 0036-0473
DOI: 10.14713/jrul.v41i2.1588