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Estimation of seasonal long memory parameters

Hold Date
2018-05-29 12:00〜2018-05-29 13:00
Lecture Room S W1-C-503, West Zone 1, Ito campus, Kyushu University
Object person
Andriy OLENKO (Department of Mathematics and Statistics, La Trobe University)

We discuss seasonal long-memory processes with Gegenbauer-type spectral densities. Estimates for singularity location and long-memory parameters based on general filter transforms are proposed. As a particular case these transformations include wavelet transformations. It is proved that the estimates are almost surely convergent to the true values of parameters. Solutions of the estimation equations are studied and adjusted statistics are proposes. Numerical results are presented to confirm the theoretical findings.

The talk is based on joint results with H. Alomari (La Trobe University), A. Ayache and M. Fradon (Université Lille 1).