Multivariate Wavelet Whittle Estimation in Long-range Dependence
نویسندگان
چکیده
منابع مشابه
Multivariate wavelet Whittle estimation in long-range dependence
Multivariate processes with long-range dependent properties are found in a large number of applications including finance, geophysics and neuroscience. For real data applications, the correlation between time series is crucial. Usual estimations of correlation can be highly biased due to phase-shifts caused by the differences in the properties of autocorrelation in the processes. To address thi...
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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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Nonparametric estimation procedures that can flexibly account for varying levels of smoothness among different functional parameters, such as penalized likelihoods, have been developed in a variety of settings. However, geometric constraints on power spectra have limited the development of such methods when estimating the power spectrum of a vector-valued time series. This article introduces a ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2015
ISSN: 0143-9782
DOI: 10.1111/jtsa.12170