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dc.contributor.authorFay, Gillesen_US
dc.contributor.authorMoulines, Ericen_US
dc.contributor.authorRoueff, Francoisen_US
dc.contributor.authorTaqqu, Murad S.en_US
dc.date.accessioned2019-08-28T19:24:34Z
dc.date.available2019-08-28T19:24:34Z
dc.date.issued2009-08-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000269095500007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationGilles Fay, Eric Moulines, Francois Roueff, Murad S Taqqu. 2009. "Estimators of long-memory: Fourier versus wavelets." JOURNAL OF ECONOMETRICS, Volume 151, Issue 2, pp. 159 - 177 (19). https://doi.org/10.1016/j.jeconom.2009.03.005
dc.identifier.issn0304-4076
dc.identifier.issn1872-6895
dc.identifier.urihttps://hdl.handle.net/2144/37489
dc.description.abstractSemi-parametric estimation methods of the long-memory exponent of a time series have been studied in several papers, some applied, others theoretical, some using Fourier methods, others using a wavelet-based technique. In this paper, we compare the Fourier and wavelet approaches to the local regression method and to the local Whittle method. We provide an overview of these methods, describe what has been done and indicate the available results and the conditions under which they hold. We discuss their relative strengths and weaknesses both from a practical and a theoretical perspective. We also include a simulation-based comparison. The software written to support this work is available on demand and we illustrate its use at the end of the paper.en_US
dc.description.sponsorshipMurad S. Taqqu would like to thank Telecom Paris Tech for their hospitality. This research was partially supported by the NSF Grants DMS-0505747 and DMS-0706786 at Boston University. (DMS-0505747 - NSF; DMS-0706786 - NSF)en_US
dc.format.extent159 - 177 (19)en_US
dc.languageEnglish
dc.publisherELSEVIER SCIENCE SAen_US
dc.relation.ispartofJOURNAL OF ECONOMETRICS
dc.subjectEconomicsen_US
dc.subjectMathematics, interdisciplinary applicationsen_US
dc.subjectSocial sciences, mathematical methodsen_US
dc.subjectBusiness & economicsen_US
dc.subjectMathematicsen_US
dc.subjectMathematical methods in social sciencesen_US
dc.subjectWavelet analysisen_US
dc.subjectLong range dependenceen_US
dc.subjectSemi-parametric estimationen_US
dc.subjectEconometricsen_US
dc.titleEstimators of long-memory: Fourier versus waveletsen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
dc.identifier.doi10.1016/j.jeconom.2009.03.005
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
pubs.publication-statusPublisheden_US
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, Murad S)
dc.identifier.mycv54269


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