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Article Dans Une Revue Electronic Journal of Statistics Année : 2022

Asymptotic normality of simultaneous estimators of cyclic long-memory processes

Résumé

Spectral singularities at non-zero frequencies play an important role in investigating cyclic or seasonal time series. The publication [2] introduced the generalized filtered method-of-moments approach to simultaneously estimate singularity location and long-memory parameters. This paper continues studies of these simultaneous estimators. A wide class of Gegenbauer-type semi-parametric models is considered. Asymptotic normality of several statistics of the cyclic and long-memory parameters is proved. New adjusted estimates are proposed and investigated. The theoretical findings are illustrated by numerical results. The methodology includes wavelet transformations as a particular case.
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hal-03450159 , version 1 (25-11-2021)

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  • HAL Id : hal-03450159 , version 1

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Antoine Ayache, Myriam Fradon, Ravindi Nanayakkara, Andriy Olenko. Asymptotic normality of simultaneous estimators of cyclic long-memory processes. Electronic Journal of Statistics , 2022. ⟨hal-03450159⟩
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