scholarly journals Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models

2001 ◽  
Vol 22 (2) ◽  
pp. 221-249 ◽  
Author(s):  
Clifford M. Hurvich ◽  
Julia Brodsky
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Semiparametric Estimation ◽  
Exponential Models ◽  
Memory Time ◽  
Memory Parameter

On the estimation of short memory components in long memory time series models

2016 ◽  
Vol 20 (4) ◽  
Author(s):  
Richard T. Baillie ◽  
George Kapetanios
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Time Series Models ◽  
Memory Process ◽  
Long Memory Process ◽  
Fractional Differencing ◽  
Memory Time ◽  
Short Memory ◽  
Short Memory Process ◽  
Memory Parameter

AbstractA substantial amount of recent time series research has emphasized semi-parameteric estimators of a long memory parameter and we provide a selective review of the literature on this issue. We consider such estimators applied to the issue of estimating the parameters relating to a short memory process which is embedded within the long memory process. We consider the fractional differencing filter and the subsequent properties of a two step estimator of the short memory parameters. We conclude that while the semi-parametric estimators can have excellent properties in terms of estimating the long memory parameter, they do not have good properties when applied to the two step estimator of short memory

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