Short-Term Noise and the Robustness of Two Log-Periodogram Estimators in Long Memory Series

摘要：

　　This paper focuses on the robustness of estimates and its mechanism with presence of short-term noise.Simulation results show that although AG estimator derives lower bias and better robustness than the GPH in most situations,the modification effects are evident only when the short noise has small negative roots.The problem of over-modification on larger negative roots and the under-modification on the positive roots are still lack of advanced study.The standard deviation it is not sensitive to short-term noise but the mean square errors increase sharply with short-term noise.Besides,the power and practical size of the test was affected too.Larger sample size is suggested to gain more robust finite sample properties.

关键词： Short-term Noise Robustness Log-Periodogram Estimator Long Memory

作者: Lu Deng

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

会议类型: 国际会议

会议名称: 2012 2nd International conference on Machinery Electronics and Control Engineering (2012年第二届国际机械电子与控制工程会议(ICMECE 2012))

会议地点: 济南

会议语种:英文

页码: 1235-1238

在线出版日期: 2012-12-29（万方平台首次上网日期，不代表论文的发表时间）