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标题: Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in 'Journal of Multivariate Analysis, 72 (2000), pp.183-207.) 本地全文: 下载 作者: Liudas Giraitis ; Peter M Robinson ; Alexander Samarov 等期刊名称: Distributional Analysis Publications 印刷版ISSN: 1352-2469 出版年度: 2000 卷号: 2000 出版社: Suntory Toyota International Centres for Economics and Related Disciplines 摘要: Lq Jludlwlv/ Urelqvrq/ dqg Vdpdury +4<<:,/ zh kdyh vkrzq wkdw wkh rswlpdo udwh iru phpru| sdudphwhu hvwlpdwruv lq vhplsdudphwulf orqj phpru| prghov zlwk ghjuhh ri *orfdo vprrwkqhvv* lv qu+,/ u+, @ @+5.4,/ dqg wkdw d orj0shulrgrjudp uhjuhvvlrq hvwlpdwru +d prglhg Jhzhnh dqg Sruwhu0Kxgdn +4<;6, hvwlpdwru, zlwk pd{lpxp iuhtxhqf| p @ p+, q5u+, lv udwh rswlpdo1 Wkh txhvwlrq zklfk zh dgguhvv lq wklv sdshu lv zkdw lv wkh ehvw rewdlqdeoh udwh zkhq lv xqnqrzq/ vr wkdw hvwlpdwruv fdqqrw ghshqg rq 1 Zh rewdlq d orzhu erxqg iru wkh dv|pswrwlf txdgudwlf ulvn ri dq| vxfk dgdswlyh hvwlpdwru/ zklfk wxuqv rxw wr eh odujhu wkdq wkh rswlpdo qrqdgdswlyh udwh qu+, e| d orjdulwkplf idfwru1 Zh wkhq frqvlghu d prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru edvhg rq wdshuhg gdwd dqg zlwk d gdwd0ghshqghqw pd{lpxp iuhtxhqf| p @ p+ a ,/ zklfk ghshqgv rq dq dgdswlyho| fkrvhq hvwlpdwru a ri / dqg vkrz/ xvlqj phwkrgv sursrvhg e| Ohsvnll +4<<3, lq dqrwkhu frqwh{w/ wkdw wklv hvwlpdwru dwwdlqv wkh orzhu erxqg xs wr d orjdulwkplf idfwru1 Rq rqh kdqg/ wklv phdqv wkdw wklv hvwlpdwru kdv qhduo| rswlpdo udwh dprqj doo dgdswlyh +iuhh iurp , hvwlpdwruv/ dqg/ rq wkh rwkhu kdqg/ lw vkrzv qhdu rswlpdolw| ri rxu gdwd0ghshqghqw fkrlfh ri wkh udwh ri wkh pd{lpxp iuhtxhqf| iru wkh prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru1 Wkh surriv frqwdlq uhvxowv zklfk duh dovr ri lqghshqghqw lqwhuhvw= rqh uhvxow vkrzv wkdw gdwd wdshulqj jlyhv d vljqlfdqw lpsuryhphqw lq dv|pswrwlf surshuwlhv ri fryduldqfhv ri glvfuhwh Irxulhu wudqvirupv ri orqj phpru| wlph vhulhv/ zkloh dqrwkhu jlyhv dq h{srqhqwldo lqhtxdolw| iru wkh prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru1 关键词: Orqj udqjh ghshqghqfh> vhplsdudphwulf prgho> udwhv ri frqyhujhqfh>;dgdswlyh edqgzlgwk vhohfwlrq