On parameter estimation for locally stationary Long-memory processes

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

BERAN, Jan, 2009. On parameter estimation for locally stationary Long-memory processes. In: Journal of Statistical Planning and Inference. 139(3), pp. 900-915. ISSN 0378-3758. eISSN 0378-3758. Available under: doi: 10.1016/j.jspi.2008.05.047

@article{Beran2009param-27584, title={On parameter estimation for locally stationary Long-memory processes}, year={2009}, doi={10.1016/j.jspi.2008.05.047}, number={3}, volume={139}, issn={0378-3758}, journal={Journal of Statistical Planning and Inference}, pages={900--915}, author={Beran, Jan} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/27584"> <dc:rights>deposit-license</dc:rights> <dcterms:issued>2009</dcterms:issued> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:title>On parameter estimation for locally stationary Long-memory processes</dcterms:title> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dcterms:abstract xml:lang="eng">We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the asymptotically optimal bandwidth are obtained. In spite of long memory, the optimal bandwidth turns out to be of the order n-1/5n-1/5 and inversely proportional to the square of the second derivative of d. In this sense, local estimation of d is comparable to regression smoothing with iid residuals.</dcterms:abstract> <dc:creator>Beran, Jan</dc:creator> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27584"/> <dcterms:bibliographicCitation>Journal of Statistical Planning and Inference ; 139 (2009), 3. - S. 900-915</dcterms:bibliographicCitation> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-15T12:41:09Z</dc:date> <dc:language>eng</dc:language> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-15T12:41:09Z</dcterms:available> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto