2 papers
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…
stat.ME2014
Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
D. S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling…