L'estimation du spectre de processus de droites
Linear approximations to some non-linear AR(1) processes
Some methods for approximating non-linear AR(1) processes by classical linear AR(1) models are proposed. The quality of approximation is studied in special non-linear AR(1) models by means of comparisons of quality of extrapolation and interpolation in the original models and in their approximations. It is assumed that the white noise has either rectangular or exponential distribution.
Log-periodogram regression in asymmetric long memory
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 and asymptotic...
Long memory time series models