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- W2135494809 abstract "Fractional exponential (FEXP) models have been introduced by Robinson (1991) and Beran (1993) to model the spectral density of a covariance stationary long-range dependent process. In this class of models, the spectral density f(x) of the process is decomposed as f(x) = |1 − exp(ix)|−2df*(x), where f*(x) accounts for the short-memory component. In this contribution, FEXP models are used to construct semi-parametric estimates of the fractional differencing coefficient and of the spectral density, by considering an infinite Fourier series expansion of log f*(x). A data-driven order selection procedure, adapted from the Mallows' Cp procedure, is proposed to determine the order of truncation. The optimality of the data-driven procedure is established, under mild assumptions on the short-memory component f*(x). A limited Monte-Carlo experiment is presented to support our claims." @default.
- W2135494809 created "2016-06-24" @default.
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- W2135494809 date "2000-03-01" @default.
- W2135494809 modified "2023-10-03" @default.
- W2135494809 title "Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence" @default.
- W2135494809 doi "https://doi.org/10.1111/1467-9892.00181" @default.
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