From short to long memory : aggregation and estimation

Beran, Jan; Schützner, Martin; Ghosh, Sucharita

From short to long memory : aggregation and estimation

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Date

2010

Authors

Beran, Jan

Schützner, Martin

Ghosh, Sucharita

Publication type

Journal article

Published in

Computational Statistics & Data Analysis ; 54 (2010), 11. - pp. 2432-2442

Abstract

Contemporaneous aggregation of asymptotically stationary AR(1) processes is considered where the squared random coefficients are beta-distributed. Based on the sample correlation coefficients for the individual AR(1) processes, an estimator for the parameters of the underlying beta distribution, and thus for the long memory parameter of the aggregated process, is introduced. Consistency and asymptotic normality are derived and the new estimator is shown to be asymptotically equivalent to the maximum likelihood estimator of the beta distribution.

Subject (DDC)

310 Statistics

Cite This

ISO 690

BERAN, Jan, Martin SCHÜTZNER, Sucharita GHOSH, 2010. From short to long memory : aggregation and estimation. In: Computational Statistics & Data Analysis. 54(11), pp. 2432-2442. Available under: doi: 10.1016/j.csda.2009.05.016

BibTex

@article{Beran2010short-789,
  year={2010},
  doi={10.1016/j.csda.2009.05.016},
  title={From short to long memory : aggregation and estimation},
  number={11},
  volume={54},
  journal={Computational Statistics & Data Analysis},
  pages={2432--2442},
  author={Beran, Jan and Schützner, Martin and Ghosh, Sucharita}
}

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Yes