Title :

Estimation of cyclic long-memory parameters

Author(s) :

Alomari, Huda Mohammed [Auteur]
Ayache, Antoine [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Fradon, Myriam [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Olenko, Andriy [Auteur]
La Trobe University

Journal title :

Scandinavian Journal of Statistics

Publisher :

Wiley

Publication date :

2020

ISSN :

0303-6898

English keyword(s) :

estimators of parameters
stochastic process
Gegenbauer-type spectral densities
seasonal/cyclic long memory
wavelet transformation
filter

HAL domain(s) :

Mathématiques [math]

English abstract : [en]

This paper studies cyclic long-memory processes with Gegenbauer- type spectral densities. For a semiparametric statistical model new simultaneous estimates for singularity location and long- memory parameters are proposed. ...
Show more >This paper studies cyclic long-memory processes with Gegenbauer- type spectral densities. For a semiparametric statistical model new simultaneous estimates for singularity location and long- memory parameters are proposed. This generalized filtered method of moments approach is based on general filter transforms that include wavelet transformations as a particular case. It is proved that the estimates are almost surely convergent to the true values of parameters. Solutions of the estimation equations are studied and adjusted statistics are proposed. Monte-Carlo study results are presented to confirm the theoretical findings.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL

Submission date :

2025-01-24T14:53:29Z