Bandwidth Choice of Log-periodogram Estimators With Short-term Noise in Long Memory Series

摘要：

This paper makes research on two log-periodogram estimators of long memory and takes importance to the short-term noise effects on the bandwidth choice. It turned out that under finite samples, both the shortterm and long-term impact on the performance of the log-periodogram estimators. Experiments found that it caused difficulty in choosing an optimum bandwidth with the presence of short-term noise, however, the minimum RMSE criteria is a relatively acceptable choice.

关键词： Bandwidth Choice Log-Periodogram Estimator Short-Term Noise Long Memory

作者: Lu Deng Yingruolan Li

作者单位: School of Statistics,Central University of Finance and Economics,Beijing, P.R. China, 100081

会议类型: 国际会议

会议名称: 2011 Eighth International Conference on Fuzzy System and Knowledge Discovery(第八届模糊系统与知识发现国际会议 FSKD 2011)

会议地点: 上海

会议语种:英文

页码: 1265-1268

在线出版日期: 2011-07-26（万方平台首次上网日期，不代表论文的发表时间）