Nonparametric Beta kernel estimator for long memory time series

Taoufik Bouezmarni and Sebastien Van Bellegem ()
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Taoufik Bouezmarni: University of Sherbrooke, Canada

No 2011004, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data. The convergence in probability of the relative error and Monte Carlo simulations suggest that the estimator automaticaly adapts to the long- or the short-range dependency of the process. A cross-validation procedure is also studied in order to select the nuisance parameter of the estimator. Illustrations on historical as well as most recent returns and absolute returns of the S&P500 index show the reasonable performance of the estimation, and show that the data-driven estimator is a valuable tool for the detection of long-memory as well as hidden periodicities in stock returns.

Keywords: spectral density; long range dependence; nonparametric estimation; periodogram; kernel smoothing; Beta kernel; cross-validation (search for similar items in EconPapers)
JEL-codes: C14 C22 C58 (search for similar items in EconPapers)
Date: 2011-01-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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https://sites.uclouvain.be/core/publications/coredp/coredp2011.html (application/pdf)

Related works:
Working Paper: Nonparametric Beta Kernel Estimator for Long Memory Time Series (2009)
Working Paper: Nonparametric Beta Kernel Estimator for Long Memory Time Series (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2011004

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