Author : Carlos Velasco
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.). by : Carlos Velasco
Download or read book Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.). written by Carlos Velasco and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (0.5 = d lt; 1) or antipersistent (-0.5 lt; d lt; 0) observations. Using adequate data tapers we can apply this estimation technique to any degree of nonstationarity d = 0.5 without prior knowledge of the memory of the series. We analyse the performance of the estimates on simulated and real data.