2 papers
stat.ME2018
Bias corrected minimum distance estimator for short and long memory processes
Gustavo C. Lana, Glaura C. Franco, Sokol Ndreca
This work proposes a new minimum distance estimator (MDE) for the parameters of short and long memory models. This bias corrected minimum distance estimator (BCMDE) considers a cor…
math.ST2007
Log-average periodogram estimator of the memory parameter
Valderio Reisen, Eric Moulines, Philippe Soulier +1
This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero…