Estimation of seasonal long-memory parameters

2018/05/30 by Huda Mohammed Alomari, Antoine Ayache, Alomari, Huda Mohammed +5
Computer Science · Economics, Econometrics and Finance · #62M10 #62M15 #65T60 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Image and Signal Denoising Methods #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1805.11905

openalex publication_date 2018/05/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper studies seasonal long-memory processes with Gegenbauer-type spectral densities. Estimates for singularity location and long-memory parameters based on general filter transforms are proposed. 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 proposed. Numerical results are presented to confirm the theoretical findings.

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