Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
نویسندگان
چکیده
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet et al. (2008) which only concerned Gaussian processes. Moreover, the definition of the long memory parameter estimator is modified and asymptotic results are improved even in the Gaussian case. Finally an adaptive goodnessof-fit test is also built and easy to be employed: it is a chi-square type test. Simulations confirm the interesting properties of consistency and robustness of the adaptive estimator and test.
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