EconPapers    
Economics at your fingertips  
 

Efficient Nonparametric Estimation of Generalized Autocovariances

Alessandra Luati (), Francesca Papagni () and Tommaso Proietti
Additional contact information
Alessandra Luati: University of Bologna
Francesca Papagni: Free University of Bozen

No 515, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalized autocovariance function of a stationary random process. The generalized autocovariance function is the inverse Fourier transform of a power transformation of the spectral density and encompasses the traditional and inverse autocovariance functions as particular cases. A nonparametric estimator is based on the inverse discrete Fourier transform of the power transformation of the pooled periodogram. The general result on the asymptotic efficiency is then applied to the class of Gaussian stationary ARMA processes and its implications are discussed. Finally, we illustrate that for a class of contrast functionals and spectral densities, the minimum contrast estimator of the spectral density satisfies a Yule-Walker system of equations in the generalized autocovariance estimator.

Keywords: Cramér-Rao lower bound; Frequency Domain; Minimum Contrast Estimation; Periodogram (search for similar items in EconPapers)
Pages: 17 pages
Date: 2021-10-14, Revised 2021-10-14
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP515.pdf Main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:515

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().

 
Page updated 2024-11-14
Handle: RePEc:rtv:ceisrp:515