کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097417 | 1376588 | 2007 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Gaussian semiparametric estimation of multivariate fractionally integrated processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered is motivated by and includes those of multivariate fractionally integrated processes. The paper establishes the consistency of the multivariate Gaussian semiparametric estimator (GSE), which has not been shown in other work, and the asymptotic normality of the GSE estimator. The proposed GSE estimator is shown to have a smaller limiting variance than the two-step GSE estimator studied by Lobato [1999. A semiparametric two-step estimator in a multivariate long memory model. Journal of Econometrics 90, 129-153]. Gaussianity is not assumed in the asymptotic theory. Some simulations confirm the relevance of the asymptotic results in samples of the size used in practical work.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 137, Issue 2, April 2007, Pages 277-310
Journal: Journal of Econometrics - Volume 137, Issue 2, April 2007, Pages 277-310
نویسندگان
Katsumi Shimotsu,