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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/376534
- author
- Almasri, Abdullah
; Holmquist, Björn
LU
and Hussain, Shakir
- organization
- publishing date
- 2007
- 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
- 2016-04-01 15:57:35
- date last changed
- 2022-03-22 07:27:23
@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}},
keywords = {{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}},
doi = {{10.1080/10629360600570863}},
volume = {{77}},
year = {{2007}},
}