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Estimation of long memory in the presence of a smooth nonparametric trend.
- Article from:
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Journal of the American Statistical Association
- Article date:
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September 1, 2005
- Author:
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Copyright informationCOPYRIGHT 2005 American Statistical Association. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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We consider semiparametric estimation of the long-memory parameter of a stationary process in the presence of an additive nonparametric mean function. We use a semiparametric Whittle-type estimator, applied to the tapered, differenced series. Because the mean function is not necessarily a polynomial of finite order, no amount of differencing will completely remove the mean. We establish a central limit theorem for the estimator of the memory parameter, assuming that a slowly increasing number of low frequencies are trimmed from the estimator's objective function. We find in simulations that tapering and trimming, applied either separately or together, are essential for the good ...
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