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Impact of the periodicity and trend on the FD parameter estimation

Författare:
Publiceringsår: 2007
Språk: Engelska
Sidor: 79-87
Publikation/Tidskrift/Serie: Journal of Statistical Computation and Simulation
Volym: 77
Nummer: 1
Dokumenttyp: Artikel
Förlag: Taylor & Francis

Sammanfattning

It is well known that one of the features of long-memory processes is that they tend to have what looks like trends and cycles. A consequence of this property is that it is difficult to distinguish a long-memory process from a nonstationary process. In this paper, we study the impact of the periodicity and trend on different methods for estimating the long-memory processes parameter d.

Disputation

Nyckelord

  • Medicine and Health Sciences
  • Mathematics and Statistics
  • discrete wavelet transform
  • periodicity
  • trend
  • long-memory

Övriga

Published
Yes
  • ISSN: 0094-9655

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