Tests and confidence intervals for the location parameter in orthogonal FEXP models

Beran, Jan

Tests and confidence intervals for the location parameter in orthogonal FEXP models

Dateien

dp00_21.pdfGröße: 247.52 KBDownloads: 109

Datum

2000

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

Confidence intervals and tests for the location parameter are considered for time series generated by FEXP models. Since these tests mainly depend on the unknown fractional differencing parameter d, the distribution of d plays a major role. An exact closed form expression for the asymptotic variance of d is given for FEXP models with cosine functions. It is shown that the variance increases linearily with the order p of the model. An alternative FEXP model with orthogonal components is proposed for which the asymptotic variance of d does not depend on p. Tables of quantiles of the test statistic are given for both model classes.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

t-test, long-range dependence, short range dependence, anitpersistence, location esimation, confidence interval, FEXP model

Zitieren

ISO 690

BERAN, Jan, 2000. Tests and confidence intervals for the location parameter in orthogonal FEXP models

BibTex

@techreport{Beran2000Tests-526,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Tests and confidence intervals for the location parameter in orthogonal FEXP models},
  number={2000/21},
  author={Beran, Jan}
}

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