From short to long memory : aggregation and estimation


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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

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

Ghosh, Sucharita Schützner, Martin Beran, Jan terms-of-use 2010 2011-03-22T17:48:53Z Publ. in: Computational Statistics & Data Analysis 54 (2010), 11, pp. 2432-2442 Ghosh, Sucharita Beran, Jan eng From short to long memory : aggregation and estimation 2011-03-22T17:48:53Z 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. Schützner, Martin

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