most citedOptimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach

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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…