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 $N(0,\frac{1}{4})$ limit distribution for all values of d if the optimization covers an interval of width less than $\frac{9}{2}$ and the initial value of the process is known.
Publié le : 2005-08-14
Classification:
Discrete Fourier transform,
fractional integration,
long memory,
nonstationarity,
semiparametric estimation,
Whittle likelihood,
62M10
@article{1123250232,
author = {Shimotsu, Katsumi and Phillips, Peter C. B.},
title = {Exact local Whittle estimation of fractional integration},
journal = {Ann. Statist.},
volume = {33},
number = {1},
year = {2005},
pages = { 1890-1933},
language = {en},
url = {http://dml.mathdoc.fr/item/1123250232}
}
Shimotsu, Katsumi; Phillips, Peter C. B. Exact local Whittle estimation of fractional integration. Ann. Statist., Tome 33 (2005) no. 1, pp. 1890-1933. http://gdmltest.u-ga.fr/item/1123250232/