Estimation of the location and exponent of the spectral singularity of a long memory process
Hidalgo, Javier ; Soulier, Philippe
HAL, hal-00147620 / Harvested from HAL
Text on HAL
We consider the estimation of the location of the pole and memory parameter $\omega_0$ and $d$ of a covariance stationary process with spectral density $f(x) = |1-e^{i(x-\omega_0)}|^{-d} |1-e^{i(x+\omega_0)}|^{-d}f^*(x)$. We investigate optimal rates of convergence for the estimators of $\omega_0$ and $d$, and the consequence that the lack of knowledge of $\omega_0$ has on the estimation of the memory parameter $d$. We present estimators which achieve the optimal rates.
Publié le : 2004-01-01
Classification:  Long Memory,  Fractionally differenced processes,  Gegenbauer processes,  Periodogram,  Semiparametric estimation,  MSC: 62M09 62M10,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{hal-00147620,
     author = {Hidalgo, Javier and Soulier, Philippe},
     title = {Estimation of the location and exponent of the spectral singularity of a long memory process},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00147620}
}

Hidalgo, Javier; Soulier, Philippe. Estimation of the location and exponent of the spectral singularity of a long memory process. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00147620/