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Locally stationary long memory estimation

François Roueff and Rainer von Sachs

Stochastic Processes and their Applications, 2011, vol. 121, issue 4, 813-844

Abstract: There exists a wide literature on parametrically or semi-parametrically modelling strongly dependent time series using a long-memory parameter d, including more recent work on 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 adopt a semi-parametric approach in order to avoid fitting a time-varying parametric model, such as tvARFIMA, to the observed data. We study the asymptotic behavior of a local log-regression wavelet estimator of the time-dependent d. Both simulations and a real data example complete our work on providing a fairly general approach.

Keywords: Locally; stationary; process; Long; memory; Semi-parametric; estimation; Wavelets (search for similar items in EconPapers)
Date: 2011
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