Exact local Whittle estimation of fractional integration

• 成果类型: Article
• 署名作者: Shimotsu, K; Phillips, PCB
• 署名单位: Queens University - Canada; Yale University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/009053605000000309
• 发表日期: 2005
• 页码: 1890-1933
• 关键词: long-range dependence; time-series; NONSTATIONARY

摘要

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 width less than (9)/(2) and the initial value of the process is known.