论文标题
循环长期内存过程的同时估计量的渐近正态性
Asymptotic normality of simultaneous estimators of cyclic long-memory processes
论文作者
论文摘要
非零频率的频谱奇异性在研究循环或季节性时间序列中起着重要作用。出版物[2]引入了广义过滤的摩擦方法方法，以同时估计奇异性位置和长期内存参数。本文继续研究这些同时进行的估计器。考虑了一类广泛的Gegenbauer型半参数模型。证明了循环和长期内存参数的几个统计数据的渐近正态性。提出并研究了新的调整后的估计。理论发现通过数值结果说明。该方法包括小波转换作为特定情况。
Spectral singularities at non-zero frequencies play an important role in investigating cyclic or seasonal time series. The publication [2] introduced the generalized filtered method-of-moments approach to simultaneously estimate singularity location and long-memory parameters. This paper continues studies of these simultaneous estimators. A wide class of Gegenbauer-type semi-parametric models is considered. Asymptotic normality of several statistics of the cyclic and long-memory parameters is proved. New adjusted estimates are proposed and investigated. The theoretical findings are illustrated by numerical results. The methodology includes wavelet transformations as a particular case.
