Time varying long memory parameter estimation for locally stationary long memory processes

Lihong Wang

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 10, 2529-2547

Abstract: The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak consistency and the asymptotic normality of the estimators are obtained. The finite sample performance of the estimators is discussed through a small simulation study.

Date: 2019
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DOI: 10.1080/03610926.2018.1472777

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