Estimators of Long-Memory: Fourier versus Wavelets

Fay, Gilles; Moulines, Éric; Roueff, François; Taqqu, Murad

Type de document :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.jeconom.2009.03.005

Titre :

Estimators of Long-Memory: Fourier versus Wavelets

Auteur(s) :

Fay, Gilles [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Moulines, Éric [Auteur]
Laboratoire Traitement et Communication de l'Information [LTCI]
Roueff, François [Auteur]
Laboratoire Traitement et Communication de l'Information [LTCI]
Taqqu, Murad [Auteur]
Boston University [Boston] [BU]

Titre de la revue :

Econometrics

Pagination :

159-177

Éditeur :

MDPI

Date de publication :

2009-08-01

ISSN :

2225-1146

Mot(s)-clé(s) en anglais :

Wavelet analysis
long range dependence
semi-parametric estimation

Discipline(s) HAL :

Mathématiques [math]/Statistiques [math.ST]
Statistiques [stat]/Théorie [stat.TH]

Résumé en anglais : [en]

There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier methods, others using a wavelet-based ...
Lire la suite >There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier methods, others using a wavelet-based technique. In this paper, we compare the Fourier and wavelet approaches to the local regression method and to the local Whittle method. We provide an overview of these methods, describe what has been done, indicate the available results and the conditions under which they hold. We discuss their relative strengths and weaknesses both from a practical and a theoretical perspective. We also include a simulation-based comparison. The software written to support this work is available on demand and we illustrate its use at the end of the paper.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :