Displaying similar documents to “Gaussian semiparametric estimation in seasonal/cyclical long memory time series”

Log-periodogram regression in asymmetric long memory

Josu Arteche (2000)

Kybernetika

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The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency, where the spectral density function is symmetric, are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter–Hudak [gewe]. In this paper we analyse the asymptotic properties of this estimate in the seasonal or cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency...

On the tail index estimation of an autoregressive Pareto process

Marta Ferreira (2013)

Discussiones Mathematicae Probability and Statistics

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In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailed MARMA. We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision. ...

SURE shrinkage of gaussian paths and signal identification

Nicolas Privault, Anthony Réveillac (2011)

ESAIM: Probability and Statistics

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Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes, based on their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise.