AN EFFICIENT ESTIMATOR FOR LOCALLY STATIONARY GAUSSIAN LONG-MEMORY PROCESSES

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dc.contributor.authorPalma, Wilfredo
dc.contributor.authorOlea, Ricardo
dc.date.accessioned2024-01-10T13:11:05Z
dc.date.available2024-01-10T13:11:05Z
dc.date.issued2010
dc.description.abstractThis paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying parametric formulation of these models is introduced and a Whittle likelihood technique is proposed for estimating the parameters involved. Large sample properties of these Whittle estimates such as consistency, normality and efficiency are established in this work. Furthermore, the finite sample behavior of the estimators is investigated through Monte Carlo experiments. As a result from these simulations, we show that the estimates behave well even for relatively small sample sizes.
dc.description.funderFondecyt
dc.fechaingreso.objetodigital2024-05-15
dc.format.extent40 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1214/10-AOS812
dc.identifier.issn0090-5364
dc.identifier.urihttps://doi.org/10.1214/10-AOS812
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/77991
dc.identifier.wosidWOS:000282402800012
dc.information.autorucEscuela de Administración;Olea R ;S/I;18217
dc.information.autorucMatemática;Palma W;S/I;100091
dc.issue.numero5
dc.language.isoen
dc.nota.accesocontenido completo
dc.pagina.final2997
dc.pagina.inicio2958
dc.publisherINST MATHEMATICAL STATISTICS
dc.revistaANNALS OF STATISTICS
dc.rightsacceso abierto
dc.subjectNonstationarity
dc.subjectlocal stationarity
dc.subjectlong-range dependence
dc.subjectWhittle estimation
dc.subjectconsistency
dc.subjectasymptotic normality
dc.subjectefficiency
dc.subjectTIME-SERIES
dc.subjectMODELS
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleAN EFFICIENT ESTIMATOR FOR LOCALLY STATIONARY GAUSSIAN LONG-MEMORY PROCESSES
dc.typeartículo
dc.volumen38
sipa.codpersvinculados18217
sipa.codpersvinculados100091
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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