Wavelets and estimation of long memory in nonstationary models: Does anything beat the exact local whittle estimator?
| Autor: | Rabeh Khalfaoui, Heni Boubaker, Mohamed Boutahar |
|---|---|
| Přispěvatelé: | Université Ibn Zohr [Agadir], Institut de mathématiques de Luminy (IML), Université de la Méditerranée - Aix-Marseille 2-Centre National de la Recherche Scientifique (CNRS), ICN Business School, Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), Institut de Mathématiques de Marseille (I2M), Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS) |
| Rok vydání: | 2016 |
| Předmět: |
Statistics and Probability
Long memory [QFIN]Quantitative Finance [q-fin] Mean squared error 05 social sciences Beat (acoustics) Estimator Tapering Wavelets 01 natural sciences Nonstationary models 0506 political science [STAT]Statistics [stat] 010104 statistics & probability Wavelet [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] Modeling and Simulation Statistics 050602 political science & public administration 0101 mathematics Estimation methods Mathematics |
| Zdroj: | Communications in Statistics-Simulation and Computation Communications in Statistics-Simulation and Computation, 2017, 46 (2), pp.1189-1218. ⟨10.1080/03610918.2014.995814⟩ Communications in Statistics-Simulation and Computation, 2016, 46 (2), pp.189-1218. ⟨10.1080/03610918.2014.995814⟩ |
| ISSN: | 1532-4141 0361-0918 |
| DOI: | 10.1080/03610918.2014.995814 |
| Popis: | International audience; In this paper, we analyze the performance of five estimation methods for the long memory parameter d. The goal of our paper is to construct a wavelet estimate for the fractional differencing parameter in nonstationary long memory processes which dominate the well known estimate of Shimotsu and Phillips (2005). The simulation results show that the wavelet estimation method of Lee (2005) with several tapering techniques performs better under most cases in nonstationary long memory. The comparison is based on the empirical root mean squared error of each estimate. |
| Databáze: | OpenAIRE |
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