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arXiv · 1805.11905

Estimation of seasonal long-memory parameters

Huda Mohammed Alomari·Antoine Ayache·Myriam Fradon·Andriy Olenko
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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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Huda Mohammed Alomari, Antoine Ayache, Myriam Fradon, Andriy Olenko. 2018-05-30. Estimation of seasonal long-memory parameters. https://arxiv.org/abs/1805.11905

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