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Author: Liudas Giraitis
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Violetta Dalla, Liudas Giraitis and Javier Hidalgo
For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...
Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...
Liudas Giraitis and Peter M Robinson
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...
Liudas Giraitis, Javier Hidalgo and Peter M Robinson
We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown...Read more...
Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...
For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by c...Read more...
Liudas Giraitis, Peter M Robinson and Donatas Surgailis
Liudas Giraitis, Peter M Robinson and Alexander Samarov
The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ? ? and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Tever...Read more...
There exist several estimators of the memory parameter in long-memory time series models with mean µ and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of conver...Read more...