Log-average periodogram estimator of the memory parameter

2007/12/05 by Valdério Anselmo Reisen, Reisen, Valderio, Éric Moulines +5
Economics, Econometrics and Finance · Mathematics · #60G10 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #G0G18 #Mathematical Dynamics and Fractals #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.0712.0814

openalex publication_date 2007/12/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The proposed estimator is theoretically justified and empirical Monte Carlo investigation gives evidence that the method is very promising to estimate the long-memory parameter.

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