Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, $d$, in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-filtered by a preliminary semiparametric estimate of the lo...

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Hauptverfasser:	Poskitt, Don S, Martin, Gael M, Grose, Simone D
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Computation Statistics - Methodology
Online-Zugang:	Volltext bestellen
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