Economics, Econometrics and Finance
6 years ago

New method accurately estimates long memory in changing data patterns.

Communication in Statistics- Theory and Methods
Time varying long memory parameter estimation for locally stationary long memory processes
Lihong V. Wang

Paper Summary

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The article explores ways to estimate how memory changes over time in certain types of data. Two methods, the GPH estimator and the local Whittle estimator, are studied. The researchers show that these estimators are reliable and accurate under certain conditions. They also test the estimators in simulations to see how well they work in practice.