Plug-In Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-Memory Time Series PDF Download
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Author: Clifford M. Hurvich
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
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Book Description
We consider the problem of selecting the number of frequencies, m, in a log-periodogram regression estimator of the memory parameter d of a Gaussian long-memory time series. It is known that under certain conditions the optimal m, minimizing the mean squared error of the corresponding estimator of d, is given by m(opt) = Cn4/5, where n is the sample size and C is a constant. In practice, C would be unknown since it depends on the properties of the spectral density near zero frequency. In this paper, we propose an estimator of C based again on a log-periodogram regression and derive its consistency. We also derive an asymptotically valid confidence interval for d when the number of frequencies used in the regression is deterministic and proportional to n4/5. In this case, squared bias cannot be neglected since it is of the same order as the variance. In a Monte Carlo study, we examine the performance of the plug-in estimator of d, in which m is obtained by using the estimator of C in the formula for m(opt) above. We also study the performance of a bias-corrected version of the plug-in estimator of d. Comparisons with the choice m = nAtilde;𓂬irc;½ frequencies, as originally suggested by Geweke and Porter-Hudak.
Author: Clifford M. Hurvich
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
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Book Description
We consider the problem of selecting the number of frequencies, m, in a log-periodogram regression estimator of the memory parameter d of a Gaussian long-memory time series. It is known that under certain conditions the optimal m, minimizing the mean squared error of the corresponding estimator of d, is given by m(opt) = Cn4/5, where n is the sample size and C is a constant. In practice, C would be unknown since it depends on the properties of the spectral density near zero frequency. In this paper, we propose an estimator of C based again on a log-periodogram regression and derive its consistency. We also derive an asymptotically valid confidence interval for d when the number of frequencies used in the regression is deterministic and proportional to n4/5. In this case, squared bias cannot be neglected since it is of the same order as the variance. In a Monte Carlo study, we examine the performance of the plug-in estimator of d, in which m is obtained by using the estimator of C in the formula for m(opt) above. We also study the performance of a bias-corrected version of the plug-in estimator of d. Comparisons with the choice m = nAtilde;𓂬irc;½ frequencies, as originally suggested by Geweke and Porter-Hudak.
Author: Peter M. Robinson
Publisher: Advanced Texts in Econometrics
ISBN: 9780199257300
Category : Business & Economics
Languages : en
Pages : 396
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Book Description
Long memory time series are characterized by a strong dependence between distant events.
Author: Uwe Hassler
Publisher: John Wiley & Sons
ISBN: 1119470285
Category : Mathematics
Languages : en
Pages : 292
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Book Description
Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Author: Donatas Surgailis
Publisher: World Scientific Publishing Company
ISBN: 1911299387
Category : Mathematics
Languages : en
Pages : 594
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Book Description
Box and Jenkins (1970) made the idea of obtaining a stationary time series by differencing the given, possibly nonstationary, time series popular. Numerous time series in economics are found to have this property. Subsequently, Granger and Joyeux (1980) and Hosking (1981) found examples of time series whose fractional difference becomes a short memory process, in particular, a white noise, while the initial series has unbounded spectral density at the origin, i.e. exhibits long memory.Further examples of data following long memory were found in hydrology and in network traffic data while in finance the phenomenon of strong dependence was established by dramatic empirical success of long memory processes in modeling the volatility of the asset prices and power transforms of stock market returns.At present there is a need for a text from where an interested reader can methodically learn about some basic asymptotic theory and techniques found useful in the analysis of statistical inference procedures for long memory processes. This text makes an attempt in this direction. The authors provide in a concise style a text at the graduate level summarizing theoretical developments both for short and long memory processes and their applications to statistics. The book also contains some real data applications and mentions some unsolved inference problems for interested researchers in the field./a
Author: Jan Beran
Publisher: Springer Science & Business Media
ISBN: 3642355129
Category : Mathematics
Languages : en
Pages : 892
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Book Description
Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Author: Robert H. Shumway
Publisher: Springer
ISBN: 3319524526
Category : Mathematics
Languages : en
Pages : 567
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Book Description
The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonlinear models, resampling techniques, GARCH models, ARMAX models, stochastic volatility, wavelets, and Markov chain Monte Carlo integration methods. This edition includes R code for each numerical example in addition to Appendix R, which provides a reference for the data sets and R scripts used in the text in addition to a tutorial on basic R commands and R time series. An additional file is available on the book’s website for download, making all the data sets and scripts easy to load into R.
Author: Paul Doukhan
Publisher: Springer Science & Business Media
ISBN: 9780817641689
Category : Mathematics
Languages : en
Pages : 744
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Book Description
The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
Author: Greg N. Gregoriou
Publisher: Springer
ISBN: 0230295215
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Author: Vladas Pipiras
Publisher: Cambridge University Press
ISBN: 1107039460
Category : Business & Economics
Languages : en
Pages : 693
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Book Description
A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Author: O.F. Vasiliev
Publisher: Springer Science & Business Media
ISBN: 1402057393
Category : Technology & Engineering
Languages : en
Pages : 497
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Book Description
This book addresses the development of advanced methods for the prediction, the estimation of occurrence probabilities and the risk related to extreme hydrological events. It also discusses the reduction of the vulnerability of social, economic, and engineering systems to extreme hydrologic events and the decrease of their effects on such systems.
