an:06704192
Zbl 1422.62364
Boubaker, H.; Boutahar, M.; Khalfaoui, R.
Wavelets and estimation of long memory in nonstationary models: does anything beat the exact local Whittle estimator?
EN
Commun. Stat., Simulation Comput. 46, No. 2, 1189-1218 (2017).
00364465
2017
j
62P20 91B84
long memory; nonstationary models; wavelets
Summary: In this article, we analyze the performance of five estimation methods for the long memory parameter \(d\). The goal of our article is to construct a wavelet estimate for the fractional differencing parameter in nonstationary long memory processes that dominate the well-known estimate of \textit{K. Shimotsu} and \textit{P. C. B. Phillips} [Ann. Stat. 33, No. 4, 1890--1933 (2005; Zbl 1081.62069)]. The simulation results show that the wavelet estimation method of \textit{J. Lee} [Econ. Lett. 87, No. 2, 207--210 (2005; Zbl 1254.91673)] with several tapering techniques performs better under most cases in nonstationary long memory. The comparison is based on the empirical root mean squared error of each estimate.
Zbl 1081.62069; Zbl 1254.91673