Time varying long memory parameter estimation for locally stationary long memory processes

Abstract

The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak consistency and the asymptotic normality of the estimators are obtained. The finite sample performance of the estimators is discussed through a small simulation study.

Keywords:

• GPH estimator
• local Whittle estimator
• locally stationary long memory process
• time varying long memory parameter

MATHEMATICS SUBJECT CLASSIFICATION:

• 62M10
• 60F05

Additional information

Funding

This research was supported by National Natural Science Foundation of China (NSFC) and grant (Nos. 11671194 and 11501287).