Log-periodogram estimation of the memory parameter of a long-memory process under trend

by Philipp Sibbertsen

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.

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Year of publication:	2001 ; Version August 2001
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : SFB 475, Universität Dortmund
Subject:	Long-memory \| trends \| log-periodogram regression \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Regressionsanalyse \| Regression analysis