文章基本信息

标题：Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)
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作者：Liudas Giraitis ; Peter M Robinson October
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：1998
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ? ? and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Teverovsky and Willinger (1995), Teverovsky and Taqqu (1997) introduced an aggregate variance estimator of the long memory parameter of a stationary sequence with long range dependence and studied its empirial performance. With respect to autovariance structure and marginal distribution, the aggregated series is closer to Gaussian fractional noise than the initial series. However, the variance type estimator based on aggregated data is seriously biased. A refined estimator, which employs least squares regression across varying levels of aggregation, has much smaller bias, permitting derivation of limiting distributional properties of suitably centered estimates, as well as of a minimum mean squared error choice of bandwidth m. The results vary considerably with the actual value of the memory parameter.
关键词：long memory ; aggregation ; semiparametric model