Locally stationary long memory estimation - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Locally stationary long memory estimation


There exists a wide literature on modelling strongly dependent time series using a longmemory parameter d, including more recent work on semiparametric wavelet estimation. As a generalization of these latter approaches, in this work we allow the long-memory parameter d to be varying over time. We embed our approach into the framework of locally stationary processes. We show weak consistency and a central limit theorem for our log-regression wavelet estimator of the time-dependent d in a Gaussian context. Both simulations and a real data example complete our work on providing a fairly general approach.
Fichier principal
Vignette du fichier
submitted.pdf (466.03 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-00408224 , version 1 (29-07-2009)
hal-00408224 , version 2 (08-04-2010)



François Roueff, Rainer von Sachs. Locally stationary long memory estimation. 2009. ⟨hal-00408224v1⟩
159 View
292 Download



Gmail Facebook Twitter LinkedIn More