6 citations · 6 across the 1 of their papers we have counts for
2 papers
stat.ME2019★ 6 cited
Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
Kanchana Nadarajah, Gael M Martin, Donald S Poskitt
We use the jackknife to bias correct the log-periodogram regression(LPR) estimator of the fractional parameter in a stationary fractionally integrated model. The weights for the ja…
math.ST2014
Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
Gael M. Martin, Kanchana Nadarajah, D. S. Poskitt
We provide a comprehensive set of new results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric…