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Impact of the periodicity and trend on the FD parameter estimation

Almasri, Abdullah; Holmquist, Björn LU and Hussain, Shakir (2007) In Journal of Statistical Computation and Simulation 77(1). p.79-87
Abstract
It is well known that one of the features of long-memory processes is that they tend to have what looks like trends and cycles. A consequence of this property is that it is difficult to distinguish a long-memory process from a nonstationary process. In this paper, we study the impact of the periodicity and trend on different methods for estimating the long-memory processes parameter d.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
discrete wavelet transform, periodicity, trend, long-memory
in
Journal of Statistical Computation and Simulation
volume
77
issue
1
pages
79 - 87
publisher
Taylor & Francis
external identifiers
  • wos:000242209300006
  • scopus:33751566983
ISSN
1563-5163
DOI
10.1080/10629360600570863
language
English
LU publication?
yes
id
defe91ec-5b83-4c9a-b41d-6ce2397c624b (old id 376534)
date added to LUP
2007-12-04 18:09:05
date last changed
2017-01-01 06:51:40
@article{defe91ec-5b83-4c9a-b41d-6ce2397c624b,
  abstract     = {It is well known that one of the features of long-memory processes is that they tend to have what looks like trends and cycles. A consequence of this property is that it is difficult to distinguish a long-memory process from a nonstationary process. In this paper, we study the impact of the periodicity and trend on different methods for estimating the long-memory processes parameter d.},
  author       = {Almasri, Abdullah and Holmquist, Björn and Hussain, Shakir},
  issn         = {1563-5163},
  keyword      = {discrete wavelet transform,periodicity,trend,long-memory},
  language     = {eng},
  number       = {1},
  pages        = {79--87},
  publisher    = {Taylor & Francis},
  series       = {Journal of Statistical Computation and Simulation},
  title        = {Impact of the periodicity and trend on the FD parameter estimation},
  url          = {http://dx.doi.org/10.1080/10629360600570863},
  volume       = {77},
  year         = {2007},
}