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- W1908105087 abstract "We consider semiparametric fractional exponential (FEXP) estimators of the memory parameter d for a potentially nonstationary linear long-memory time series with smooth additive trend. We use differencing to annihilate the trend, followed by tapering to handle the potential non-invertibility of the differenced series. We propose a method of pooling the tapered periodogram which leads to more efficient estimators of d than existing pooled, tapered estimators. We establish asymptotic normality of the estimator. Finally, we consider minimax rate-optimality and feasible nearly rate-optimal estimators. Some simulations are presented to illustrate our findings." @default.
- W1908105087 created "2016-06-24" @default.
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- W1908105087 date "2002-11-13" @default.
- W1908105087 modified "2023-09-25" @default.
- W1908105087 title "An adaptive broadband estimator of the fractional differencing coefficient" @default.
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- W1908105087 doi "https://doi.org/10.1109/icassp.2001.940575" @default.
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