Geodesic
Log-periodogram regression in asymmetric long memory
Kybernetika, Tome 36 (2000) no. 4, p. [415].

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency, where the spectral density function is symmetric, are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter–Hudak [gewe]. In this paper we analyse the asymptotic properties of this estimate in the seasonal or cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency and asymptotic normality are obtained. Finite sample behaviour is evaluated via a Monte Carlo analysis.
Classification : 62F12, 62M10, 62M15, 65C05
Keywords: time series model; asymptotic properties 
@article{KYB_2000__36_4_a2,
     author = {Arteche, Josu},
     title = {Log-periodogram regression in asymmetric long memory},
     journal = {Kybernetika},
     pages = {[415]},
     publisher = {mathdoc},
     volume = {36},
     number = {4},
     year = {2000},
     mrnumber = {1830647},
     zbl = {1248.62143},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2000__36_4_a2/}
}
TY  - JOUR
AU  - Arteche, Josu
TI  - Log-periodogram regression in asymmetric long memory
JO  - Kybernetika
PY  - 2000
SP  - [415]
VL  - 36
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2000__36_4_a2/
LA  - en
ID  - KYB_2000__36_4_a2
ER  - 
%0 Journal Article
%A Arteche, Josu
%T Log-periodogram regression in asymmetric long memory
%J Kybernetika
%D 2000
%P [415]
%V 36
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2000__36_4_a2/
%G en
%F KYB_2000__36_4_a2
Arteche, Josu. Log-periodogram regression in asymmetric long memory. Kybernetika, Tome 36 (2000) no. 4, p. [415]. http://geodesic.mathdoc.fr/item/KYB_2000__36_4_a2/