The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Journal of Time Series Analysis

Volumn 19, Issue 1, 1998, Pages 19-46

  Hurvich, Clifford M ^a   Deo, Rohit ^a   Brodsky, Julia ^a  

^a NONE

Author keywords

Periodogram; Semiparametric estimation

Indexed keywords

EID: 0002670989     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00075     Document Type: Article

References (6)

1. GEWEKE, J. and PORTER-HUDAK, S. (1983) The estimation and application of long memory time series models. J. Time Ser. Anal. 4, 221-37.
2. HASLETT, J. and RAFTERY, A. E. (1989) Space-time modelling with long-memory dependence: assessing Ireland's wind power resources (with discussion). J. R. Stat. Soc., Ser. C 38, 1-21.
3. HURVICH, C. M. and BELTRAO, K. I. (1993) Asymptotics for the low-frequency ordinates of the periodogram of a long memory time series. J. Time Ser. Anal. 14, 455-72.
4. _ and _ (1994) Automatic semiparametric estimation of the memory parameter of a long memory time series. J. Time. Ser. Anal. 15, 285-302.
5. KUNSCH, H. R. (1986) Discrimination between monotonie trends and long-range dependence. J. Appl. Probab. 23, 1025-30.
6. ROBINSON, P. M. (1995) Log-periodogram regression of time series with long range dependence. Ann. Stat. 23, 1048-72.