Linear Trend with Fractionally Integrated Errors

We consider the estimation of linear trend for a time series in the presence of additive long‐memory noise with memory parameter d∈[0, 1.5). Although no parametric model is assumed for the noise, our assumptions include as special cases the random walk with drift as well as linear trend with station...

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Veröffentlicht in:	Journal of time series analysis 1998-07, Vol.19 (4), p.379-397
Hauptverfasser:	Deo, Rohit S., Hurvich, Clifford M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Differencing Estimation Least squares method Long-memory Methodology Tapering Time series
Online-Zugang:	Volltext
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